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.

Measuring the impact of international R&D cooperation: the case of Spanish firms participating in the EU Framework Programme

The objective of this paper is to analyse the effects of international R&D cooperation on firms’ economic performance. Our approach, based on a complete data set with information about Spanish participants in research joint ventures supported by the EU Framework Programme during the period 1995-2005, establishes a recursive model structure to capture the relationship between R&D cooperation, knowledge generation and economic results, which are measured by labour productivity. In the analysis we take into account that the participation in this specific type of cooperative projects implies a selection process that includes both the self-selection by participants to join the consortia and the selection of projects by the European Commission to award the public aid. Empirical analysis has confirmed that: (1) R&D co-operation has a positive impact on the technological capacity of firms, captured through intan-gible fixed assets and (2) the technological capacity of firms is positively related to their productivity.

Measuring the economic impact of Research Joint Ventures supported by the EU Framework Programme

The objective of this paper is to analyse the effects of international R&D cooperation on firms’ economic performance. Our approach, based on a complete data set with information about Spanish participants in research joint ventures supported by the EU Framework Programme during the period 1995-2005, establishes a recursive model structure to capture the relationship between R&D cooperation, knowledge generation and economic results, which are measured by labour productivity. In the analysis we take into account that the participation in this specific type of cooperative projects implies a selection process that includes both the self-selection by participants to join the consortia and the selection of projects by the European Commission to award the public aid. Empirical analysis has confirmed that: (1) R&D co-operation has a positive impact on the technological capacity of firms, captured through intan-gible fixed assets and (2) the technological capacity of firms is positively related to their productivity.