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Quantitative Finance Volume 17, 2017 - Issue 5
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Research Papers

The dynamics of leveraged ETFs returns: a panel data study

Antoine GiannettiFinance Department, College of Business, Florida Atlantic University, Boca Raton, FL33431, USACorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0003-1571-5546
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Pages 745-761 | Received 20 Oct 2015, Accepted 08 Sep 2016, Published online: 04 Nov 2016

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Esther B. Del Brio, Andrés Mora-Valencia & Javier Perote. (2019) Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications. The European Journal of Finance 25:17, pages 1746-1764.
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Articles from other publishers (1)

Vladimir Anic. (2020) Constant leverage certificates: dynamics, performance, and risk-return characteristics. Quantitative Finance and Economics 4:4, pages 693-724.
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