RT info:eu-repo/semantics/article
T1 Leverage effect in energy futures revisited
A1 Carnero, María Ángeles
A1 Pérez Espartero, Ana
K1 Estadística matemática
K1 Economía Política - Metodos estadísticos
K1 1209.14 Técnicas de Predicción Estadística
AB The 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.
PB Elsevier
SN 0140-9883
YR 2018
FD 2018
LK http://uvadoc.uva.es/handle/10324/37950
UL http://uvadoc.uva.es/handle/10324/37950
LA eng
NO Energy Economics. 2019, 82: 237-252
NO Producción Científica
DS UVaDOC
RD 25-abr-2024