spb/phd_thesis Public
PhD thesis — Three essays on high-frequency return and volatility dynamics in commodities and financial futures markets (Université Laval).
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1@article{petajisto2017inefficiencies,2 title={Inefficiencies in the pricing of exchange-traded funds},3 author={Petäjistö, Antti},4 journal={Financial Analysts Journal},5 volume={73},6 number={1},7 pages={24--54},8 year={2017},9 publisher={CFA Institute}10}111213@article{gorton2006facts,14 title={Facts and fantasies about commodity futures},15 author={Gorton, Gary and Rouwenhorst, K Geert},16 journal={Financial Analysts Journal},17 volume={62},18 number={2},19 pages={47--68},20 year={2006},21 publisher={CFA Institute}22}232425@article{ackert2000arbitrage,26 title={Arbitrage and valuation in the market for {S}tandard \& {P}oor's depositary receipts},27 author={Ackert, Lucy F and Tian, Yisong S},28 journal={Financial Management},29 volume={29},30 number={3},31 pages={71--87},32 year={2000},33 publisher={Wiley}34}353637@article{madhavan2012exchange,38 title={Exchange-traded funds, market structure, and the flash crash},39 author={Madhavan, Ananth},40 journal={Financial Analysts Journal},41 volume={68},42 number={4},43 pages={20--35},44 year={2012},45 publisher={CFA Institute}46}474849@article{ben2018etfs,50 title={Do {ETFs} increase volatility?},51 author={Ben-David, Itzhak and Franzoni, Francesco and Moussawi, Rabih},52 journal={The Journal of Finance},53 volume={73},54 number={6},55 pages={2471--2535},56 year={2018},57 publisher={Wiley}58}596061@article{israeli2017etf,62 title={Is there a dark side to exchange traded funds? {An} information perspective},63 author={Israeli, Doron and Lee, Charles MC and Sridharan, Suhas A},64 journal={Review of Accounting Studies},65 volume={22},66 number={3},67 pages={1048--1083},68 year={2017},69 publisher={Springer}70}717273@article{todorov2021etf,74 title={When passive funds affect prices: Evidence from volatility and commodity {ETFs}},75 author={Todorov, Karamfil},76 journal={Review of Finance},77 year={2024},78 volume={28},79 number={3},80 pages={831--863},81 publisher={Oxford University Press}82}838485@article{corsi2009simple,86 title={A simple approximate long-memory model of realized volatility},87 author={Corsi, Fulvio},88 journal={Journal of Financial Econometrics},89 volume={7},90 number={2},91 pages={174--196},92 year={2009},93 publisher={Oxford University Press}94}959697@article{koop2011forecasting,98 title={Forecasting with medium and large {B}ayesian {VARs}},99 author={Koop, Gary},100 journal={Journal of Applied Econometrics},101 volume={28},102 number={2},103 pages={177--203},104 year={2013},105 publisher={Wiley}106}107108109@article{andersen2001distribution,110 title={The distribution of realized stock return volatility},111 author={Andersen, Torben G and Bollerslev, Tim and Diebold, Francis X and Ebens, Heiko},112 journal={Journal of Financial Economics},113 volume={61},114 number={1},115 pages={43--76},116 year={2001},117 publisher={Elsevier}118}119120121@article{barndorff2004power,122 title={Power and bipower variation with stochastic volatility and jumps},123 author={Barndorff-Nielsen, Ole E and Shephard, Neil},124 journal={Journal of Financial Econometrics},125 volume={2},126 number={1},127 pages={1--37},128 year={2004},129 publisher={Oxford University Press}130}131132133@article{pan2016etf,134 title={{ETF} arbitrage under liquidity mismatch},135 author={Pan, Kevin and Zeng, Yao},136 journal={Journal of Financial Economics},137 volume={120},138 number={3},139 pages={617--635},140 year={2016},141 publisher={Elsevier}142}143144145@article{fang2023etf,146 title={{ETF} arbitrage, non-fundamental demand, and return predictability},147 author={Fang, Lily H and Jiang, Joel},148 journal={Review of Financial Studies},149 volume={36},150 number={4},151 pages={1433--1470},152 year={2023},153 publisher={Oxford University Press}154}155156157@article{lettau2018exchange,158 title={Exchange-traded funds 101 for economists},159 author={Lettau, Martin and Madhavan, Ananth},160 journal={Journal of Economic Perspectives},161 volume={32},162 number={1},163 pages={135--154},164 year={2018},165 publisher={American Economic Association}166}167168169@article{glosten2021etf,170 title={{ETF} activity and informational efficiency of underlying securities},171 author={Glosten, Lawrence and Nallareddy, Suresh and Zou, Yuan},172 journal={Management Science},173 volume={67},174 number={1},175 pages={22--47},176 year={2021},177 publisher={INFORMS}178}179180181@article{da2018exchange,182 title={Exchange traded funds and asset return correlations},183 author={Da, Zhi and Shive, Sophie},184 journal={European Financial Management},185 volume={24},186 number={1},187 pages={136--168},188 year={2018},189 publisher={Wiley}190}191192193@article{hamm2011liquidity,194 title={Liquidity and firm value: Evidence from {ETF} holdings},195 author={Hamm, Sophia JW},196 journal={Journal of Corporate Finance},197 volume={20},198 pages={1--15},199 year={2014},200 publisher={Elsevier}201}202203204@article{krause2014exchange,205 title={Exchange-traded funds, liquidity and volatility},206 author={Krause, Tanja and Ehsani, Shahram and Lien, Donald},207 journal={Applied Financial Economics},208 volume={24},209 number={24},210 pages={1617--1630},211 year={2014},212 publisher={Taylor \& Francis}213}214215216@article{ohara2021etf,217 title={Anatomy of a liquidity crisis: Corporate bonds in the {COVID}-19 crisis},218 author={O'Hara, Maureen and Zhou, Xing Alex},219 journal={Journal of Financial Economics},220 volume={142},221 number={1},222 pages={46--68},223 year={2021},224 publisher={Elsevier}225}226227228@article{barndorff2002econometric,229 title={Econometric analysis of realized volatility and its use in estimating stochastic volatility models},230 author={Barndorff-Nielsen, Ole E and Shephard, Neil},231 journal={Journal of the Royal Statistical Society: Series B},232 volume={64},233 number={2},234 pages={253--280},235 year={2002},236 publisher={Wiley}237}238239240@article{buckle2018price,241 title={Price discovery in the {ETF} market: the role of market makers},242 author={Buckle, David J and Curran, Edward and McGroarty, Frank},243 journal={Journal of Banking \& Finance},244 volume={93},245 pages={32--45},246 year={2018},247 publisher={Elsevier}248}249250251@article{hamm2014liquidity,252 title={Liquidity and firm value: Evidence from {ETF} holdings},253 author={Hamm, Sophia JW},254 journal={Journal of Corporate Finance},255 volume={29},256 pages={1--15},257 year={2014},258 publisher={Elsevier}259}260261262@article{agarwal2018etfs,263 title={Do {ETFs} increase the commonality in liquidity of underlying stocks?},264 author={Agarwal, Vikas and Hanouna, Paul and Moussawi, Rabih and Stahel, Christof W},265 journal={Journal of Financial Economics},266 volume={127},267 number={1},268 pages={67--90},269 year={2018},270 publisher={Elsevier}271}272273274@article{basak2016model,275 title={A model of financialization of commodities},276 author={Basak, Suleyman and Pavlova, Anna},277 journal={The Journal of Finance},278 volume={71},279 number={4},280 pages={1511--1556},281 year={2016},282 publisher={Wiley}283}284285286@article{buyuksahin2014speculation,287 title={Speculation, commodities and cross-market linkages},288 author={Buyuksahin, Bahattin and Robe, Michel A},289 journal={Journal of International Money and Finance},290 volume={42},291 pages={38--70},292 year={2014},293 publisher={Elsevier}294}295296297@article{andersen2007roughing,298 title={Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility},299 author={Andersen, Torben G and Bollerslev, Tim and Diebold, Francis X},300 journal={The Review of Economics and Statistics},301 volume={89},302 number={4},303 pages={701--720},304 year={2007},305 publisher={MIT Press}306}307308309@article{corsi2010threshold,310 title={Threshold bipower variation and the impact of jumps on volatility forecasting},311 author={Corsi, Fulvio and Pirino, Davide and Reno, Roberto},312 journal={Journal of Econometrics},313 volume={159},314 number={2},315 pages={276--288},316 year={2010},317 publisher={Elsevier}318}319320321@article{bubak2011volatility,322 title={Volatility transmission in emerging European foreign exchange markets},323 author={Bub{\'a}k, Vít and Kočenda, Evžen and Žikeš, Filip},324 journal={Journal of Banking \& Finance},325 volume={35},326 number={11},327 pages={2829--2841},328 year={2011},329 publisher={Elsevier}330}331332333@article{carriero2015forecasting,334 title={Forecasting exchange rates with a large {B}ayesian {VAR}},335 author={Carriero, Andrea and Kapetanios, George and Marcellino, Massimiliano},336 journal={International Journal of Forecasting},337 volume={25},338 number={2},339 pages={400--417},340 year={2009},341 publisher={Elsevier}342}343344345@article{diebold2012measuring,346 title={Better to give than to receive: Predictive directional measurement of volatility spillovers},347 author={Diebold, Francis X and Yilmaz, Kamil},348 journal={International Journal of Forecasting},349 volume={28},350 number={1},351 pages={57--66},352 year={2012},353 publisher={Elsevier}354}355356357@article{barunik2018measuring,358 title={Measuring the frequency dynamics of financial connectedness and systemic risk},359 author={Baruník, Jozef and Křehlík, Tomáš},360 journal={Journal of Financial Econometrics},361 volume={16},362 number={2},363 pages={271--296},364 year={2018},365 publisher={Oxford University Press}366}367368369@article{guo2015leveraged,370 title={Leveraged {ETF} performance during periods of market turmoil},371 author={Guo, Hui and Leung, Tim},372 journal={The Journal of Derivatives},373 volume={22},374 number={3},375 pages={61--74},376 year={2015},377 publisher={Institutional Investor Journals}378}379380381@article{ozdurak2020price,382 title={Price discovery in crude oil markets: Intraday volatility interactions between crude oil futures and energy exchange traded funds},383 author={Ozdurak, Caner and Ulusoy, Veysel},384 journal={International Journal of Energy Economics and Policy},385 volume={10},386 number={3},387 pages={402--413},388 year={2020}389}390391392@article{pontiff1996costly,393 title={Costly arbitrage: Evidence from closed-end funds},394 author={Pontiff, Jeffrey},395 journal={The Quarterly Journal of Economics},396 volume={111},397 number={4},398 pages={1135--1151},399 year={1996},400 publisher={Oxford University Press}401}402403404@article{gromb2010limits,405 title={Limits of arbitrage: The state of the theory},406 author={Gromb, Denis and Vayanos, Dimitri},407 journal={Annual Review of Financial Economics},408 volume={2},409 pages={251--275},410 year={2010},411 publisher={Annual Reviews}412}413414415@article{hendershott2013relationship,416 title={Algorithmic trading and the market for liquidity},417 author={Hendershott, Terrence and Riordan, Ryan},418 journal={Journal of Financial and Quantitative Analysis},419 volume={48},420 number={4},421 pages={1001--1024},422 year={2013},423 publisher={Cambridge University Press}424}425426427@article{malamud2016portfolio,428 title={Portfolio delegation and market efficiency},429 author={Malamud, Semyon},430 journal={The Journal of Finance},431 volume={71},432 number={6},433 pages={2529--2574},434 year={2016},435 publisher={Wiley}436}437438439@article{ben2017etfs,440 title={Do {ETFs} increase volatility?},441 author={Ben-David, Itzhak and Franzoni, Francesco and Moussawi, Rabih},442 journal={The Journal of Finance},443 volume={73},444 number={6},445 pages={2471--2535},446 year={2018},447 publisher={Wiley}448}449450451@article{shin2013basis,452 title={Basis and trading volume in international {ETF} markets},453 author={Shin, Sujeong and Soydemir, Gokce},454 journal={Journal of Futures Markets},455 volume={33},456 number={10},457 pages={967--992},458 year={2013},459 publisher={Wiley}460}461462463@article{dannhauser2017effect,464 title={The impact of innovation: Evidence from corporate bond exchange-traded funds},465 author={Dannhauser, Caitlin D},466 journal={Journal of Financial Economics},467 volume={125},468 number={3},469 pages={537--560},470 year={2017},471 publisher={Elsevier}472}473474475@article{staer2017asset,476 title={Asset management via {ETFs}},477 author={Staer, Alexander},478 journal={The Review of Financial Studies},479 volume={30},480 number={9},481 pages={3225--3264},482 year={2017},483 publisher={Oxford University Press}484}485486487@article{richie2008examination,488 title={The limits to stock index arbitrage: Examining {S\&P} 500 futures and {SPDRs}},489 author={Richie, Nivine and Daigler, Robert T and Gleason, Kimberly C},490 journal={Journal of Futures Markets},491 volume={28},492 number={12},493 pages={1182--1205},494 year={2008},495 publisher={Wiley}496}497498499@article{hasbrouck2003intraday,500 title={Intraday price formation in {US} equity index markets},501 author={Hasbrouck, Joel},502 journal={The Journal of Finance},503 volume={58},504 number={6},505 pages={2375--2400},506 year={2003},507 publisher={Wiley}508}509510511@article{broman2016liquidity,512 title={Liquidity, style investing and excess comovement of exchange-traded fund returns},513 author={Broman, Markus S},514 journal={Journal of Financial Markets},515 volume={30},516 pages={27--53},517 year={2016},518 publisher={Elsevier}519}520521522@article{huang2005using,523 title={The relative contribution of jumps to total price variance},524 author={Huang, Xin and Tauchen, George},525 journal={Journal of Financial Econometrics},526 volume={3},527 number={4},528 pages={456--499},529 year={2005},530 publisher={Oxford University Press}531}532533534@article{hansen2005realized,535 title={A realized variance for the whole day based on intermittent high-frequency data},536 author={Hansen, Peter Reinhard and Lunde, Asger},537 journal={Journal of Financial Econometrics},538 volume={3},539 number={4},540 pages={525--554},541 year={2005},542 publisher={Oxford University Press}543}544545546@article{liu2015does,547 title={Does anything beat 5-minute {RV}? {A} comparison of realized measures across multiple asset classes},548 author={Liu, Lily Y and Patton, Andrew J and Sheppard, Kevin},549 journal={Journal of Econometrics},550 volume={187},551 number={1},552 pages={293--311},553 year={2015},554 publisher={Elsevier}555}556557558@article{clark2008forecasting,559 title={Forecasting {US} inflation using {B}ayesian factor augmented autoregressive models},560 author={Clark, Todd E and McCracken, Michael W},561 journal={The Review of Economics and Statistics},562 volume={90},563 number={4},564 pages={665--678},565 year={2008},566 publisher={MIT Press}567}568569570@article{primiceri2005time,571 title={Time varying structural vector autoregressions and monetary policy},572 author={Primiceri, Giorgio E},573 journal={The Review of Economic Studies},574 volume={72},575 number={3},576 pages={821--852},577 year={2005},578 publisher={Oxford University Press}579}580581582@article{buyuksahin2010fundamentals,583 title={Fundamentals, trader activity and derivative pricing},584 author={Buyuksahin, Bahattin and Robe, Michel A},585 journal={Journal of Futures Markets},586 volume={30},587 number={4},588 pages={317--341},589 year={2010},590 publisher={Wiley}591}592593594@article{singleton2014investor,595 title={Investor flows and the 2008 boom/bust in oil prices},596 author={Singleton, Kenneth J},597 journal={Management Science},598 volume={60},599 number={2},600 pages={300--318},601 year={2014},602 publisher={INFORMS}603}604605606@article{dannhauser2020etf,607 title={{ETF} arbitrage during market turmoil},608 author={Dannhauser, Caitlin D},609 journal={Journal of Financial Economics},610 volume={138},611 number={2},612 pages={355--374},613 year={2020},614 publisher={Elsevier}615}616617618@article{pan2017market,619 title={Market disruptions and destabilizing speculation},620 author={Pan, Kevin and Zeng, Yao},621 journal={Journal of Financial Economics},622 volume={126},623 number={1},624 pages={450--471},625 year={2017},626 publisher={Elsevier}627}628629630@article{lynch2021market,631 title={Market maker of last resort: The {F}ederal {R}eserve's role in the {COVID}-19 bond market crisis},632 author={Lynch, David P},633 journal={Journal of Financial Economics},634 volume={142},635 number={2},636 pages={588--605},637 year={2021},638 publisher={Elsevier}639}640641642@article{barndorff2009realized,643 title={Realized kernels in practice: Trades and quotes},644 author={Barndorff-Nielsen, Ole E and Hansen, Peter Reinhard and Lunde, Asger and Shephard, Neil},645 journal={The Econometrics Journal},646 volume={12},647 number={3},648 pages={C1--C32},649 year={2009},650 publisher={Oxford University Press}651}652653654@article{brownlees2014practical,655 title={Financial econometric analysis at ultra-high frequency: Data handling concerns},656 author={Brownlees, Christian T and Gallo, Giampiero M},657 journal={Computational Statistics \& Data Analysis},658 volume={51},659 number={4},660 pages={2232--2245},661 year={2006},662 publisher={Elsevier}663}664665666@article{lee1991inferring,667 title={Inferring trade direction from intraday data},668 author={Lee, Charles MC and Ready, Mark J},669 journal={The Journal of Finance},670 volume={46},671 number={2},672 pages={733--746},673 year={1991},674 publisher={Wiley}675}676677678@article{krehbiel2019real,679 title={Real-time price discovery via verbal communication: Method and application},680 author={Krehbiel, Tim and Adkins, Lee C},681 journal={Journal of Futures Markets},682 volume={39},683 number={5},684 pages={596--613},685 year={2019},686 publisher={Wiley}687}688689690@article{bai2003computation,691 title={Computation and analysis of multiple structural change models},692 author={Bai, Jushan and Perron, Pierre},693 journal={Journal of Applied Econometrics},694 volume={18},695 number={1},696 pages={1--22},697 year={2003},698 publisher={Wiley}699}700701702@article{muller1997volatilities,703 title={Volatilities of different time resolutions—analyzing the dynamics of market components},704 author={Müller, Ulrich A and Dacorogna, Michel M and Davé, Rakhal D and Olsen, Richard B and Pictet, Olivier V and von Weizsäcker, Jacob E},705 journal={Journal of Empirical Finance},706 volume={4},707 number={2-3},708 pages={213--239},709 year={1997},710 publisher={Elsevier}711}712713714@article{litterman1986forecasting,715 title={Forecasting with {B}ayesian vector autoregressions—five years of experience},716 author={Litterman, Robert B},717 journal={Journal of Business \& Economic Statistics},718 volume={4},719 number={1},720 pages={25--38},721 year={1986},722 publisher={Taylor \& Francis}723}724725726@article{sims1999error,727 title={Error bands for impulse responses},728 author={Sims, Christopher A and Zha, Tao},729 journal={Econometrica},730 volume={67},731 number={5},732 pages={1113--1155},733 year={1999},734 publisher={Wiley}735}736737738@article{koop2013forecasting,739 title={Forecasting with medium and large {B}ayesian {VARs}},740 author={Koop, Gary},741 journal={Journal of Applied Econometrics},742 volume={28},743 number={2},744 pages={177--203},745 year={2013},746 publisher={Wiley}747}748749750@article{giannone2015prior,751 title={Prior selection for vector autoregressions},752 author={Giannone, Domenico and Lenza, Michele and Primiceri, Giorgio E},753 journal={The Review of Economics and Statistics},754 volume={97},755 number={2},756 pages={436--451},757 year={2015},758 publisher={MIT Press}759}760761762@article{geweke1992evaluating,763 title={Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments},764 author={Geweke, John},765 journal={Bayesian Statistics},766 volume={4},767 pages={169--193},768 year={1992},769 publisher={Oxford University Press}770}771