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dc.contributor.authorCarnero, María Ángeles
dc.contributor.authorPérez Espartero, Ana 
dc.date.accessioned2019-09-16T10:49:41Z
dc.date.available2019-09-16T10:49:41Z
dc.date.issued2018
dc.identifier.citationEnergy Economics. 2019, 82: 237-252es
dc.identifier.issn0140-9883es
dc.identifier.urihttp://uvadoc.uva.es/handle/10324/37950
dc.descriptionProducción Científicaes
dc.description.abstractThe objective of this paper is to replicate the results in Kristoufek (2014) on the leverage effect in energy futures and to analyze its robustness to both the methodology and the type of returns used. We first apply correlation-based tools for detecting both conditional heteroscedasticity and leverage effect. Then, we estimate asymmetric and long memory GARCH-type models using the data provided by Kristoufek (2014) by considering different software and the possibility that innovations follow a non-Gaussian distribution. Our findings confirm most of the results in the replicated paper. In particular, we can strongly confirm there is a significant leverage effect in the return series of WTI (West Texas Intermediate) and Brent crude oils. For the heating oil and the natural gas series, the statistical significance of the leverage effect depends on both the methodology and the type of returns used.es
dc.format.mimetypeapplication/pdfes
dc.language.isoenges
dc.publisherElsevieres
dc.rights.accessRightsinfo:eu-repo/semantics/openAccesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectEstadística matemáticaes
dc.subjectEconomía Política - Metodos estadísticoses
dc.titleLeverage effect in energy futures revisitedes
dc.typeinfo:eu-repo/semantics/articlees
dc.rights.holderElsevieres
dc.identifier.doihttps://doi.org/10.1016/j.eneco.2017.12.029es
dc.relation.publisherversionhttps://www.sciencedirect.com/science/article/pii/S0140988318300021es
dc.identifier.publicationtitleEnergy economicses
dc.peerreviewedSIes
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internacional*
dc.type.hasVersioninfo:eu-repo/semantics/acceptedVersiones
dc.subject.unesco1209.14 Técnicas de Predicción Estadísticaes


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