An inverted U-shaped crude oil price return-implied volatility relationship
Terence D. Agbeyegbe (Department of Economics, Hunter College and the Graduate Center, City University of New York, NY, USA)
| Year of publication: |
November 2015
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| Authors: | Agbeyegbe, Terence D. |
| Published in: |
Review of financial economics : RFE. - Medford, MA : Wiley, ISSN 1058-3300, ZDB-ID 1116477-3. - Vol. 27.2015, p. 28-45
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| Subject: | Financial econometrics | Oil return-volatility asymmetry | Feedback effects | Leverage effects | Quantile copula | Volatilität | Volatility | Ölpreis | Oil price | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model | Kapitalmarktrendite | Capital market returns | Erdöl | Petroleum | Kapitaleinkommen | Capital income | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.rfe.2015.08.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011498314