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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    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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    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