Does the ETF market overreact in the United States?

DOI10.6186/IJIMS.201903_30(1).0005MaRDI QIDQ5143352zbMATH OpenFDO

Authors Mingchih Lee, Chien-Ming Huang, Yin-Ru Jau

Publication date 11 January 2021

Full work available at URL https://doi.org/10.6186/IJIMS.201903_30(1).0005

zbMATH Keywords

dynamic correlationfinancial crisisliquiditymonetary environment

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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Cited in

(2)

• Fixed income ETFs: primary market participation and resilience of liquidity during periods of stress
• Levy models and long correlations applied to the study of exchange traded funds

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