spb/phd_thesis Public

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(2009).84\newblock A simple approximate long-memory model of realized volatility.85\newblock {\em Journal of Financial Econometrics\/}~{\em 7\/}(2), 174--196.8687\bibitem[\protect\citeauthoryear{Da and Shive}{Da and88  Shive}{2018}]{da2018exchange}89Da, Z. and S.~Shive (2018).90\newblock Exchange traded funds and asset return correlations.91\newblock {\em European Financial Management\/}~{\em 24\/}(1), 136--168.9293\bibitem[\protect\citeauthoryear{Dannhauser}{Dannhauser}{2017}]{dannhauser2017effect}94Dannhauser, C.~D. 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(2003).126\newblock Intraday price formation in {US} equity index markets.127\newblock {\em The Journal of Finance\/}~{\em 58\/}(6), 2375--2400.128129\bibitem[\protect\citeauthoryear{Hendershott and Riordan}{Hendershott and130  Riordan}{2013}]{hendershott2013relationship}131Hendershott, T. and R.~Riordan (2013).132\newblock Algorithmic trading and the market for liquidity.133\newblock {\em Journal of Financial and Quantitative Analysis\/}~{\em 48\/}(4),134  1001--1024.135136\bibitem[\protect\citeauthoryear{Huang and Tauchen}{Huang and137  Tauchen}{2005}]{huang2005using}138Huang, X. and G.~Tauchen (2005).139\newblock The relative contribution of jumps to total price variance.140\newblock {\em Journal of Financial Econometrics\/}~{\em 3\/}(4), 456--499.141142\bibitem[\protect\citeauthoryear{Israeli, Lee, and Sridharan}{Israeli143  et~al.}{2017}]{israeli2017etf}144Israeli, D., C.~M. Lee, and S.~A. Sridharan (2017).145\newblock Is there a dark side to exchange traded funds? {An} information146  perspective.147\newblock {\em Review of Accounting Studies\/}~{\em 22\/}(3), 1048--1083.148149\bibitem[\protect\citeauthoryear{Koop}{Koop}{2013}]{koop2011forecasting}150Koop, G. (2013).151\newblock Forecasting with medium and large {B}ayesian {VARs}.152\newblock {\em Journal of Applied Econometrics\/}~{\em 28\/}(2), 177--203.153154\bibitem[\protect\citeauthoryear{Litterman}{Litterman}{1986}]{litterman1986forecasting}155Litterman, R.~B. (1986).156\newblock Forecasting with {B}ayesian vector autoregressions—five years of157  experience.158\newblock {\em Journal of Business \& Economic Statistics\/}~{\em 4\/}(1),159  25--38.160161\bibitem[\protect\citeauthoryear{Liu, Patton, and Sheppard}{Liu162  et~al.}{2015}]{liu2015does}163Liu, L.~Y., A.~J. Patton, and K.~Sheppard (2015).164\newblock Does anything beat 5-minute {RV}? {A} comparison of realized measures165  across multiple asset classes.166\newblock {\em Journal of Econometrics\/}~{\em 187\/}(1), 293--311.167168\bibitem[\protect\citeauthoryear{Madhavan}{Madhavan}{2012}]{madhavan2012exchange}169Madhavan, A. (2012).170\newblock Exchange-traded funds, market structure, and the flash crash.171\newblock {\em Financial Analysts Journal\/}~{\em 68\/}(4), 20--35.172173\bibitem[\protect\citeauthoryear{Müller, Dacorogna, Davé, Olsen, Pictet, and174  von Weizsäcker}{Müller et~al.}{1997}]{muller1997volatilities}175Müller, U.~A., M.~M. Dacorogna, R.~D. Davé, R.~B. Olsen, O.~V. Pictet, and176  J.~E. von Weizsäcker (1997).177\newblock Volatilities of different time resolutions—analyzing the dynamics178  of market components.179\newblock {\em Journal of Empirical Finance\/}~{\em 4\/}(2-3), 213--239.180181\bibitem[\protect\citeauthoryear{O'Hara and Zhou}{O'Hara and182  Zhou}{2021}]{ohara2021etf}183O'Hara, M. and X.~A. Zhou (2021).184\newblock Anatomy of a liquidity crisis: Corporate bonds in the {COVID}-19185  crisis.186\newblock {\em Journal of Financial Economics\/}~{\em 142\/}(1), 46--68.187188\bibitem[\protect\citeauthoryear{Pan and Zeng}{Pan and Zeng}{2016}]{pan2016etf}189Pan, K. and Y.~Zeng (2016).190\newblock {ETF} arbitrage under liquidity mismatch.191\newblock {\em Journal of Financial Economics\/}~{\em 120\/}(3), 617--635.192193\bibitem[\protect\citeauthoryear{Petäjistö}{Petäjistö}{2017}]{petajisto2017inefficiencies}194Petäjistö, A. (2017).195\newblock Inefficiencies in the pricing of exchange-traded funds.196\newblock {\em Financial Analysts Journal\/}~{\em 73\/}(1), 24--54.197198\bibitem[\protect\citeauthoryear{Pontiff}{Pontiff}{1996}]{pontiff1996costly}199Pontiff, J. (1996).200\newblock Costly arbitrage: Evidence from closed-end funds.201\newblock {\em The Quarterly Journal of Economics\/}~{\em 111\/}(4),202  1135--1151.203204\bibitem[\protect\citeauthoryear{Richie, Daigler, and Gleason}{Richie205  et~al.}{2008}]{richie2008examination}206Richie, N., R.~T. Daigler, and K.~C. Gleason (2008).207\newblock The limits to stock index arbitrage: Examining {S\&P} 500 futures and208  {SPDRs}.209\newblock {\em Journal of Futures Markets\/}~{\em 28\/}(12), 1182--1205.210211\bibitem[\protect\citeauthoryear{Sims and Zha}{Sims and212  Zha}{1999}]{sims1999error}213Sims, C.~A. and T.~Zha (1999).214\newblock Error bands for impulse responses.215\newblock {\em Econometrica\/}~{\em 67\/}(5), 1113--1155.216217\bibitem[\protect\citeauthoryear{Staer}{Staer}{2017}]{staer2017asset}218Staer, A. (2017).219\newblock Asset management via {ETFs}.220\newblock {\em The Review of Financial Studies\/}~{\em 30\/}(9), 3225--3264.221222\bibitem[\protect\citeauthoryear{Todorov}{Todorov}{2024}]{todorov2021etf}223Todorov, K. (2024).224\newblock When passive funds affect prices: Evidence from volatility and225  commodity {ETFs}.226\newblock {\em Review of Finance\/}~{\em 28\/}(3), 831--863.227228\end{thebibliography}229