About: Leverage effect in energy futures

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
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 estimating the 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. 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 estimating the 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. (en)
Title	Leverage effect in energy futures Leverage effect in energy futures (en)
skos:prefLabel	Leverage effect in energy futures Leverage effect in energy futures (en)
skos:notation	RIV/67985556:_____/14:00433531!RIV15-GA0-67985556
http://linked.open...avai/riv/aktivita	I P
http://linked.open...avai/riv/aktivity	I, P(GAP402/11/0948), P(GP14-11402P)
http://linked.open...iv/cisloPeriodika	1
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Krištoufek, Ladislav
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	26080
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/14:00433531
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	energy commodities; leverage effect; volatility; long-term memory (en)
http://linked.open.../riv/klicoveSlovo	volatility energy commodities leverage effect long-term memory
http://linked.open...odStatuVydavatele	NL - Nizozemsko
http://linked.open...ontrolniKodProRIV	[A68304A2D6F3]
http://linked.open...i/riv/nazevZdroje	Energy Economics
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Developing Analytical Framework for Energy Security: Time-Series Econometrics, Game Theory, Meta-Analysis and Theory of Regulation Bivariate long memory analysis of financial time series
http://linked.open...UplatneniVysledku	2014
http://linked.open...v/svazekPeriodika	45
http://linked.open...iv/tvurceVysledku	Krištoufek, Ladislav
http://linked.open...ain/vavai/riv/wos	000343613500001
issn	0140-9883
number of pages	9 (xsd:int)
http://bibframe.org/vocab/doi	10.1016/j.eneco.2014.06.009

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