Leverage effect in energy futures
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F14%3A00433531" target="_blank" >RIV/67985556:_____/14:00433531 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11230/14:10281483
Result on the web
<a href="http://dx.doi.org/10.1016/j.eneco.2014.06.009" target="_blank" >http://dx.doi.org/10.1016/j.eneco.2014.06.009</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.eneco.2014.06.009" target="_blank" >10.1016/j.eneco.2014.06.009</a>
Alternative languages
Result language
angličtina
Original language name
Leverage effect in energy futures
Original language description
We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil. After estimatingthe volatility process without assuming any specific form of its behavior, we find the volatility to be long-term dependent with the Hurst exponent on a verge of stationarity and non-stationarity. To overcome such complication, we utilize the detrended cross-correlation and the detrending moving-average cross-correlation coefficients and we find the standard leverage effect for both crude oils and heating oil. For natural gas, we find the inverse leverage effect. Additionally, we report that the strength of the leverage effects is scale-dependent. Finally, we also show that none of the effects between returns and volatility is detected as the long-term cross-correlated one.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Energy Economics
ISSN
0140-9883
e-ISSN
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Volume of the periodical
45
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
9
Pages from-to
1-9
UT code for WoS article
000343613500001
EID of the result in the Scopus database
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