@article{petajisto2017inefficiencies, title={Inefficiencies in the pricing of exchange-traded funds}, author={Petäjistö, Antti}, journal={Financial Analysts Journal}, volume={73}, number={1}, pages={24--54}, year={2017}, publisher={CFA Institute} } @article{gorton2006facts, title={Facts and fantasies about commodity futures}, author={Gorton, Gary and Rouwenhorst, K Geert}, journal={Financial Analysts Journal}, volume={62}, number={2}, pages={47--68}, year={2006}, publisher={CFA Institute} } @article{ackert2000arbitrage, title={Arbitrage and valuation in the market for {S}tandard \& {P}oor's depositary receipts}, author={Ackert, Lucy F and Tian, Yisong S}, journal={Financial Management}, volume={29}, number={3}, pages={71--87}, year={2000}, publisher={Wiley} } @article{madhavan2012exchange, title={Exchange-traded funds, market structure, and the flash crash}, author={Madhavan, Ananth}, journal={Financial Analysts Journal}, volume={68}, number={4}, pages={20--35}, year={2012}, publisher={CFA Institute} } @article{ben2018etfs, title={Do {ETFs} increase volatility?}, author={Ben-David, Itzhak and Franzoni, Francesco and Moussawi, Rabih}, journal={The Journal of Finance}, volume={73}, number={6}, pages={2471--2535}, year={2018}, publisher={Wiley} } @article{israeli2017etf, title={Is there a dark side to exchange traded funds? {An} information perspective}, author={Israeli, Doron and Lee, Charles MC and Sridharan, Suhas A}, journal={Review of Accounting Studies}, volume={22}, number={3}, pages={1048--1083}, year={2017}, publisher={Springer} } @article{todorov2021etf, title={When passive funds affect prices: Evidence from volatility and commodity {ETFs}}, author={Todorov, Karamfil}, journal={Review of Finance}, year={2024}, volume={28}, number={3}, pages={831--863}, publisher={Oxford University Press} } @article{corsi2009simple, title={A simple approximate long-memory model of realized volatility}, author={Corsi, Fulvio}, journal={Journal of Financial Econometrics}, volume={7}, number={2}, pages={174--196}, year={2009}, publisher={Oxford University Press} } @article{koop2011forecasting, title={Forecasting with medium and large {B}ayesian {VARs}}, author={Koop, Gary}, journal={Journal of Applied Econometrics}, volume={28}, number={2}, pages={177--203}, year={2013}, publisher={Wiley} } @article{andersen2001distribution, title={The distribution of realized stock return volatility}, author={Andersen, Torben G and Bollerslev, Tim and Diebold, Francis X and Ebens, Heiko}, journal={Journal of Financial Economics}, volume={61}, number={1}, pages={43--76}, year={2001}, publisher={Elsevier} } @article{barndorff2004power, title={Power and bipower variation with stochastic volatility and jumps}, author={Barndorff-Nielsen, Ole E and Shephard, Neil}, journal={Journal of Financial Econometrics}, volume={2}, number={1}, pages={1--37}, year={2004}, publisher={Oxford University Press} } @article{pan2016etf, title={{ETF} arbitrage under liquidity mismatch}, author={Pan, Kevin and Zeng, Yao}, journal={Journal of Financial Economics}, volume={120}, number={3}, pages={617--635}, year={2016}, publisher={Elsevier} } @article{fang2023etf, title={{ETF} arbitrage, non-fundamental demand, and return predictability}, author={Fang, Lily H and Jiang, Joel}, journal={Review of Financial Studies}, volume={36}, number={4}, pages={1433--1470}, year={2023}, publisher={Oxford University Press} } @article{lettau2018exchange, title={Exchange-traded funds 101 for economists}, author={Lettau, Martin and Madhavan, Ananth}, journal={Journal of Economic Perspectives}, volume={32}, number={1}, pages={135--154}, year={2018}, publisher={American Economic Association} } @article{glosten2021etf, title={{ETF} activity and informational efficiency of underlying securities}, author={Glosten, Lawrence and Nallareddy, Suresh and Zou, Yuan}, journal={Management Science}, volume={67}, number={1}, pages={22--47}, year={2021}, publisher={INFORMS} } @article{da2018exchange, title={Exchange traded funds and asset return correlations}, author={Da, Zhi and Shive, Sophie}, journal={European Financial Management}, volume={24}, number={1}, pages={136--168}, year={2018}, publisher={Wiley} } @article{hamm2011liquidity, title={Liquidity and firm value: Evidence from {ETF} holdings}, author={Hamm, Sophia JW}, journal={Journal of Corporate Finance}, volume={20}, pages={1--15}, year={2014}, publisher={Elsevier} } @article{krause2014exchange, title={Exchange-traded funds, liquidity and volatility}, author={Krause, Tanja and Ehsani, Shahram and Lien, Donald}, journal={Applied Financial Economics}, volume={24}, number={24}, pages={1617--1630}, year={2014}, publisher={Taylor \& Francis} } @article{ohara2021etf, title={Anatomy of a liquidity crisis: Corporate bonds in the {COVID}-19 crisis}, author={O'Hara, Maureen and Zhou, Xing Alex}, journal={Journal of Financial Economics}, volume={142}, number={1}, pages={46--68}, year={2021}, publisher={Elsevier} } @article{barndorff2002econometric, title={Econometric analysis of realized volatility and its use in estimating stochastic volatility models}, author={Barndorff-Nielsen, Ole E and Shephard, Neil}, journal={Journal of the Royal Statistical Society: Series B}, volume={64}, number={2}, pages={253--280}, year={2002}, publisher={Wiley} } @article{buckle2018price, title={Price discovery in the {ETF} market: the role of market makers}, author={Buckle, David J and Curran, Edward and McGroarty, Frank}, journal={Journal of Banking \& Finance}, volume={93}, pages={32--45}, year={2018}, publisher={Elsevier} } @article{hamm2014liquidity, title={Liquidity and firm value: Evidence from {ETF} holdings}, author={Hamm, Sophia JW}, journal={Journal of Corporate Finance}, volume={29}, pages={1--15}, year={2014}, publisher={Elsevier} } @article{agarwal2018etfs, title={Do {ETFs} increase the commonality in liquidity of underlying stocks?}, author={Agarwal, Vikas and Hanouna, Paul and Moussawi, Rabih and Stahel, Christof W}, journal={Journal of Financial Economics}, volume={127}, number={1}, pages={67--90}, year={2018}, publisher={Elsevier} } @article{basak2016model, title={A model of financialization of commodities}, author={Basak, Suleyman and Pavlova, Anna}, journal={The Journal of Finance}, volume={71}, number={4}, pages={1511--1556}, year={2016}, publisher={Wiley} } @article{buyuksahin2014speculation, title={Speculation, commodities and cross-market linkages}, author={Buyuksahin, Bahattin and Robe, Michel A}, journal={Journal of International Money and Finance}, volume={42}, pages={38--70}, year={2014}, publisher={Elsevier} } @article{andersen2007roughing, title={Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility}, author={Andersen, Torben G and Bollerslev, Tim and Diebold, Francis X}, journal={The Review of Economics and Statistics}, volume={89}, number={4}, pages={701--720}, year={2007}, publisher={MIT Press} } @article{corsi2010threshold, title={Threshold bipower variation and the impact of jumps on volatility forecasting}, author={Corsi, Fulvio and Pirino, Davide and Reno, Roberto}, journal={Journal of Econometrics}, volume={159}, number={2}, pages={276--288}, year={2010}, publisher={Elsevier} } @article{bubak2011volatility, title={Volatility transmission in emerging European foreign exchange markets}, author={Bub{\'a}k, Vít and Kočenda, Evžen and Žikeš, Filip}, journal={Journal of Banking \& Finance}, volume={35}, number={11}, pages={2829--2841}, year={2011}, publisher={Elsevier} } @article{carriero2015forecasting, title={Forecasting exchange rates with a large {B}ayesian {VAR}}, author={Carriero, Andrea and Kapetanios, George and Marcellino, Massimiliano}, journal={International Journal of Forecasting}, volume={25}, number={2}, pages={400--417}, year={2009}, publisher={Elsevier} } @article{diebold2012measuring, title={Better to give than to receive: Predictive directional measurement of volatility spillovers}, author={Diebold, Francis X and Yilmaz, Kamil}, journal={International Journal of Forecasting}, volume={28}, number={1}, pages={57--66}, year={2012}, publisher={Elsevier} } @article{barunik2018measuring, title={Measuring the frequency dynamics of financial connectedness and systemic risk}, author={Baruník, Jozef and Křehlík, Tomáš}, journal={Journal of Financial Econometrics}, volume={16}, number={2}, pages={271--296}, year={2018}, publisher={Oxford University Press} } @article{guo2015leveraged, title={Leveraged {ETF} performance during periods of market turmoil}, author={Guo, Hui and Leung, Tim}, journal={The Journal of Derivatives}, volume={22}, number={3}, pages={61--74}, year={2015}, publisher={Institutional Investor Journals} } @article{ozdurak2020price, title={Price discovery in crude oil markets: Intraday volatility interactions between crude oil futures and energy exchange traded funds}, author={Ozdurak, Caner and Ulusoy, Veysel}, journal={International Journal of Energy Economics and Policy}, volume={10}, number={3}, pages={402--413}, year={2020} } @article{pontiff1996costly, title={Costly arbitrage: Evidence from closed-end funds}, author={Pontiff, Jeffrey}, journal={The Quarterly Journal of Economics}, volume={111}, number={4}, pages={1135--1151}, year={1996}, publisher={Oxford University Press} } @article{gromb2010limits, title={Limits of arbitrage: The state of the theory}, author={Gromb, Denis and Vayanos, Dimitri}, journal={Annual Review of Financial Economics}, volume={2}, pages={251--275}, year={2010}, publisher={Annual Reviews} } @article{hendershott2013relationship, title={Algorithmic trading and the market for liquidity}, author={Hendershott, Terrence and Riordan, Ryan}, journal={Journal of Financial and Quantitative Analysis}, volume={48}, number={4}, pages={1001--1024}, year={2013}, publisher={Cambridge University Press} } @article{malamud2016portfolio, title={Portfolio delegation and market efficiency}, author={Malamud, Semyon}, journal={The Journal of Finance}, volume={71}, number={6}, pages={2529--2574}, year={2016}, publisher={Wiley} } @article{ben2017etfs, title={Do {ETFs} increase volatility?}, author={Ben-David, Itzhak and Franzoni, Francesco and Moussawi, Rabih}, journal={The Journal of Finance}, volume={73}, number={6}, pages={2471--2535}, year={2018}, publisher={Wiley} } @article{shin2013basis, title={Basis and trading volume in international {ETF} markets}, author={Shin, Sujeong and Soydemir, Gokce}, journal={Journal of Futures Markets}, volume={33}, number={10}, pages={967--992}, year={2013}, publisher={Wiley} } @article{dannhauser2017effect, title={The impact of innovation: Evidence from corporate bond exchange-traded funds}, author={Dannhauser, Caitlin D}, journal={Journal of Financial Economics}, volume={125}, number={3}, pages={537--560}, year={2017}, publisher={Elsevier} } @article{staer2017asset, title={Asset management via {ETFs}}, author={Staer, Alexander}, journal={The Review of Financial Studies}, volume={30}, number={9}, pages={3225--3264}, year={2017}, publisher={Oxford University Press} } @article{richie2008examination, title={The limits to stock index arbitrage: Examining {S\&P} 500 futures and {SPDRs}}, author={Richie, Nivine and Daigler, Robert T and Gleason, Kimberly C}, journal={Journal of Futures Markets}, volume={28}, number={12}, pages={1182--1205}, year={2008}, publisher={Wiley} } @article{hasbrouck2003intraday, title={Intraday price formation in {US} equity index markets}, author={Hasbrouck, Joel}, journal={The Journal of Finance}, volume={58}, number={6}, pages={2375--2400}, year={2003}, publisher={Wiley} } @article{broman2016liquidity, title={Liquidity, style investing and excess comovement of exchange-traded fund returns}, author={Broman, Markus S}, journal={Journal of Financial Markets}, volume={30}, pages={27--53}, year={2016}, publisher={Elsevier} } @article{huang2005using, title={The relative contribution of jumps to total price variance}, author={Huang, Xin and Tauchen, George}, journal={Journal of Financial Econometrics}, volume={3}, number={4}, pages={456--499}, year={2005}, publisher={Oxford University Press} } @article{hansen2005realized, title={A realized variance for the whole day based on intermittent high-frequency data}, author={Hansen, Peter Reinhard and Lunde, Asger}, journal={Journal of Financial Econometrics}, volume={3}, number={4}, pages={525--554}, year={2005}, publisher={Oxford University Press} } @article{liu2015does, title={Does anything beat 5-minute {RV}? {A} comparison of realized measures across multiple asset classes}, author={Liu, Lily Y and Patton, Andrew J and Sheppard, Kevin}, journal={Journal of Econometrics}, volume={187}, number={1}, pages={293--311}, year={2015}, publisher={Elsevier} } @article{clark2008forecasting, title={Forecasting {US} inflation using {B}ayesian factor augmented autoregressive models}, author={Clark, Todd E and McCracken, Michael W}, journal={The Review of Economics and Statistics}, volume={90}, number={4}, pages={665--678}, year={2008}, publisher={MIT Press} } @article{primiceri2005time, title={Time varying structural vector autoregressions and monetary policy}, author={Primiceri, Giorgio E}, journal={The Review of Economic Studies}, volume={72}, number={3}, pages={821--852}, year={2005}, publisher={Oxford University Press} } @article{buyuksahin2010fundamentals, title={Fundamentals, trader activity and derivative pricing}, author={Buyuksahin, Bahattin and Robe, Michel A}, journal={Journal of Futures Markets}, volume={30}, number={4}, pages={317--341}, year={2010}, publisher={Wiley} } @article{singleton2014investor, title={Investor flows and the 2008 boom/bust in oil prices}, author={Singleton, Kenneth J}, journal={Management Science}, volume={60}, number={2}, pages={300--318}, year={2014}, publisher={INFORMS} } @article{dannhauser2020etf, title={{ETF} arbitrage during market turmoil}, author={Dannhauser, Caitlin D}, journal={Journal of Financial Economics}, volume={138}, number={2}, pages={355--374}, year={2020}, publisher={Elsevier} } @article{pan2017market, title={Market disruptions and destabilizing speculation}, author={Pan, Kevin and Zeng, Yao}, journal={Journal of Financial Economics}, volume={126}, number={1}, pages={450--471}, year={2017}, publisher={Elsevier} } @article{lynch2021market, title={Market maker of last resort: The {F}ederal {R}eserve's role in the {COVID}-19 bond market crisis}, author={Lynch, David P}, journal={Journal of Financial Economics}, volume={142}, number={2}, pages={588--605}, year={2021}, publisher={Elsevier} } @article{barndorff2009realized, title={Realized kernels in practice: Trades and quotes}, author={Barndorff-Nielsen, Ole E and Hansen, Peter Reinhard and Lunde, Asger and Shephard, Neil}, journal={The Econometrics Journal}, volume={12}, number={3}, pages={C1--C32}, year={2009}, publisher={Oxford University Press} } @article{brownlees2014practical, title={Financial econometric analysis at ultra-high frequency: Data handling concerns}, author={Brownlees, Christian T and Gallo, Giampiero M}, journal={Computational Statistics \& Data Analysis}, volume={51}, number={4}, pages={2232--2245}, year={2006}, publisher={Elsevier} } @article{lee1991inferring, title={Inferring trade direction from intraday data}, author={Lee, Charles MC and Ready, Mark J}, journal={The Journal of Finance}, volume={46}, number={2}, pages={733--746}, year={1991}, publisher={Wiley} } @article{krehbiel2019real, title={Real-time price discovery via verbal communication: Method and application}, author={Krehbiel, Tim and Adkins, Lee C}, journal={Journal of Futures Markets}, volume={39}, number={5}, pages={596--613}, year={2019}, publisher={Wiley} } @article{bai2003computation, title={Computation and analysis of multiple structural change models}, author={Bai, Jushan and Perron, Pierre}, journal={Journal of Applied Econometrics}, volume={18}, number={1}, pages={1--22}, year={2003}, publisher={Wiley} } @article{muller1997volatilities, title={Volatilities of different time resolutions—analyzing the dynamics of market components}, 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}, journal={Journal of Empirical Finance}, volume={4}, number={2-3}, pages={213--239}, year={1997}, publisher={Elsevier} } @article{litterman1986forecasting, title={Forecasting with {B}ayesian vector autoregressions—five years of experience}, author={Litterman, Robert B}, journal={Journal of Business \& Economic Statistics}, volume={4}, number={1}, pages={25--38}, year={1986}, publisher={Taylor \& Francis} } @article{sims1999error, title={Error bands for impulse responses}, author={Sims, Christopher A and Zha, Tao}, journal={Econometrica}, volume={67}, number={5}, pages={1113--1155}, year={1999}, publisher={Wiley} } @article{koop2013forecasting, title={Forecasting with medium and large {B}ayesian {VARs}}, author={Koop, Gary}, journal={Journal of Applied Econometrics}, volume={28}, number={2}, pages={177--203}, year={2013}, publisher={Wiley} } @article{giannone2015prior, title={Prior selection for vector autoregressions}, author={Giannone, Domenico and Lenza, Michele and Primiceri, Giorgio E}, journal={The Review of Economics and Statistics}, volume={97}, number={2}, pages={436--451}, year={2015}, publisher={MIT Press} } @article{geweke1992evaluating, title={Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments}, author={Geweke, John}, journal={Bayesian Statistics}, volume={4}, pages={169--193}, year={1992}, publisher={Oxford University Press} }