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Leverage vs. Feedback: Which Effect Drives the Oil Market ?
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 …
Persistent link: https://www.econbiz.de/10010861609
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Leverage vs. feedback : which Effect drives the oil market?
Aboura, Sofiane; Chevallier, Julien - In: Finance research letters 10 (2013) 3, pp. 131-141
Persistent link: https://www.econbiz.de/10010222896
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Leverage vs. Feedback: Which Effect Drives the Oil Market?
Aboura, Sofiane; Chevallier, Julien - HAL - 2012
This article brings new insights on the role played by (implied) volatility on the WTI crude oil spot price. An …
Persistent link: https://www.econbiz.de/10010559437
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The effect of the financial sector on the evolution of oil prices: Analysis of the contribution of the futures market to the price discovery process in the WTI spot market
Silvério, Renan; Szklo, Alexandre - In: Energy Economics 34 (2012) 6, pp. 1799-1808
in the spot market for benchmark crude oils, specifically that for West Texas Intermediate (WTI). For this purpose, we … its contribution to the price discovery process of the spot market. We modeled the relation between WTI spot and future … the contribution of future markets to the price discovery mechanism. The results show that in the case of WTI, the …
Persistent link: https://www.econbiz.de/10010868802
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Leverage vs. Feedback : Which Effect Drives the Oil Market?
Aboura, Sofiane - 2015
This article brings new insights on the role played by (implied) volatility on the WTI crude oil spot price. An …
Persistent link: https://www.econbiz.de/10013036704
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Measuring causality between volatility and returns with high-frequency data
Dufour, Jean-Marie; García, René; Taamouti, Abderrahim - Departamento de Economía, Universidad Carlos III de Madrid - 2008
We use high-frequency data to study the dynamic relationship between volatility and equity returns. We provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. The leverage hypothesis asserts that...
Persistent link: https://www.econbiz.de/10008486971
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Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility
Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - Centre Interuniversitaire de Recherche en Analyse des … - 2011
In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...
Persistent link: https://www.econbiz.de/10008855592
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A Study of the Dynamic Relationship between Crude Oil Price and the Steel Price Index
Chou, Ming-Tao; Yang, Ya - Ling; Chang, Su-Chiung - In: Review of Economics & Finance 2 (2012) May, pp. 30-42
Bulk shipping providers predominantly supply transportation services for bulk cargo, such as iron ore, grain and coal. As steel price index is a leading indicator of Baltic Dry Index, the cost of marine fuel becomes one of the key costs for shipping providers. By collecting data and building a...
Persistent link: https://www.econbiz.de/10010927756
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Leverage vs. feedback : which effect drives the equity market during stress periods?
Aboura, Sofiane - In: Annals of economics and statistics 119/120 (2015), pp. 269-288
Persistent link: https://www.econbiz.de/10011480280
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Tail risk and the return-volatility relation
Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 46 (2018), pp. 16-29
Persistent link: https://www.econbiz.de/10011983542