An econometric analysis of ETF and ETF futures in financial and energy markets using generated regressors

It is well known that that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other’s subsequent volatility in both spot and futures markets. Financial derivatives, which are not only highly representative of the underlying indices but can also be traded on both the spot and futures markets, include Exchange Traded Funds (ETFs), which is a tradable spot index whose aim is to replicate the return of an underlying benchmark index. When ETF futures are not available to examine spillover effects, “generated regressors” may be used to construct both Financial ETF futures and Energy ETF futures. The purpose of the paper is to investigate the covolatility spillovers within and across the US energy and financial sectors in both spot and futures markets, by using “generated regressors” and a multivariate conditional volatility model, namely Diagonal BEKK. The daily data used are from 1998/12/23 to 2016/4/22. The data set is analyzed in its entirety, and also subdivided into three subset time periods. The empirical results show there is a significant relationship between the Financial ETF and Energy ETF in the spot and futures markets. Therefore, financial and energy ETFs are suitable for constructing a financial portfolio from an optimal risk management perspective, and also for dynamic hedging purposes.

SAFARI optical system architecture and design concept

SpicA FAR infrared Instrument, SAFARI, is one of the instruments planned for the SPICA mission. The SPICA mission is the next great leap forward in space-based far-infrared astronomy and will study the evolution of galaxies, stars and planetary systems. SPICA will utilize a deeply cooled 2.5m-class telescope, provided by European industry, to realize zodiacal background limited performance, and high spatial resolution. The instrument SAFARI is a cryogenic grating-based point source spectrometer working in the wavelength domain 34 to 230 μm, providing spectral resolving power from 300 to at least 2000. The instrument shall provide low and high resolution spectroscopy in four spectral bands. Low Resolution mode is the native instrument mode, while the high Resolution mode is achieved by means of a Martin-Pupplet interferometer. The optical system is all-reflective and consists of three main modules; an input optics module, followed by the Band and Mode Distributing Optics and the grating Modules. The instrument utilizes Nyquist sampled filled linear arrays of very sensitive TES detectors. The work presented in this paper describes the optical design architecture and design concept compatible with the current instrument performance and volume design drivers.