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.

Global transcriptome analysis of Lactococcus garvieae strains in response to temperature

Lactococcus garvieae is an important fish and an opportunistic human pathogen. The genomic sequences of several L. garvieae strains have been recently published, opening the possibility of global studies on the biology of this pathogen. In this study, a whole genome DNA microarray of two strains of L. garvieae was designed and validated. This DNA microarray was used to investigate the effects of growth temperature (18°C and 37°C) on the transcriptome of two clinical strains of L. garvieae that were isolated from fish (Lg8831) and from a human case of septicemia (Lg21881). The transcriptome profiles evidenced a strain-specific response to temperature, which was more evident at 18°C. Among the most significant findings, Lg8831 was found to up-regulate at 18°C several genes encoding different cold-shock and cold-induced proteins involved in an efficient adaptive response of this strain to low-temperature conditions. Another relevant result was the description, for the first time, of respiratory metabolism in L. garvieae, whose gene expression regulation was temperature-dependent in Lg21881. This study provides new insights about how environmental factors such as temperature can affect L. garvieae gene expression. These data could improve our understanding of the regulatory networks and adaptive biology of this important pathogen.