Leverage effect in energy futures revisited
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Título: | Leverage effect in energy futures revisited |
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Autor/es: | Carnero, M. Angeles | Pérez, Ana |
Grupo/s de investigación o GITE: | Economía Laboral y Econometría (ELYE) |
Centro, Departamento o Servicio: | Universidad de Alicante. Departamento de Fundamentos del Análisis Económico |
Palabras clave: | Conditional heteroscedasticity | Quasi Maximum Likelihood | Robust estimators | TGARCH | EGARCH | FIEGARCH |
Área/s de conocimiento: | Fundamentos del Análisis Económico |
Fecha de publicación: | 8-ene-2018 |
Editor: | Elsevier |
Cita bibliográfica: | Energy Economics. 2019, 82: 237-252. doi:10.1016/j.eneco.2017.12.029 |
Resumen: | 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. |
Patrocinador/es: | Financial support from the Spanish Government under projects ECO2017-87069-P and ECO2016-77900-P is gratefully acknowledged by the first and second authors, respectively. |
URI: | http://hdl.handle.net/10045/83668 |
ISSN: | 0140-9883 (Print) | 1873-6181 (Online) |
DOI: | 10.1016/j.eneco.2017.12.029 |
Idioma: | eng |
Tipo: | info:eu-repo/semantics/article |
Derechos: | © 2018 Elsevier B.V. |
Revisión científica: | si |
Versión del editor: | https://doi.org/10.1016/j.eneco.2017.12.029 |
Aparece en las colecciones: | INV - ELYE - Artículos de Revistas |
Archivos en este ítem:
Archivo | Descripción | Tamaño | Formato | |
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2018_Carnero_Perez_EnergyEcon_accepted.pdf | Accepted Manuscript (acceso abierto) | 3,08 MB | Adobe PDF | Abrir Vista previa |
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