Chevallier, Julien; Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2013
This article brings new insights on the role played by (implied) volatility on the WTI crude oil spot price. An … increase in the volatility subsequent to an increase in the oil price (i.e. inverse leverage effect) remains the dominant … increase in the oil price subsequent to an increase in the volatility (i.e. inverse feedback effect) with a two-day delayed …