2024-03-29T07:29:37Zhttps://uvadoc.uva.es/oai/requestoai:uvadoc.uva.es:10324/379502021-06-23T10:07:20Zcom_10324_1146com_10324_931com_10324_894col_10324_1262
Leverage effect in energy futures revisited
Carnero, María Ángeles
Pérez Espartero, Ana
Estadística matemática
Economía Política - Metodos estadísticos
Producción Científica
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.
2019-09-16
2019-09-16
2018
info:eu-repo/semantics/article
Energy Economics. 2019, 82: 237-252
0140-9883
http://uvadoc.uva.es/handle/10324/37950
https://doi.org/10.1016/j.eneco.2017.12.029
Energy economics
eng
https://www.sciencedirect.com/science/article/pii/S0140988318300021
info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by-nc-nd/4.0/
Elsevier
Attribution-NonCommercial-NoDerivatives 4.0 Internacional
Elsevier