Leverage vs. feedback: Which Effect drives the oil market?
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DOI: 10.1016/j.frl.2013.05.003
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- Julien Chevallier & Sofiane Aboura, 2013. "Leverage vs. Feedback: Which Effect Drives the Oil Market ?," Post-Print hal-01531283, HAL.
- Sofiane Aboura & Julien Chevallier, 2012. "Leverage vs. Feedback: Which Effect Drives the Oil Market?," Working Papers halshs-00720156, HAL.
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Gong, Xu & Lin, Boqiang, 2018. "The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market," Energy Economics, Elsevier, vol. 74(C), pages 370-386.
- Aboura, Sofiane & Chevallier, Julien, 2016.
"Spikes and crashes in the oil market,"
Research in International Business and Finance, Elsevier, vol. 36(C), pages 615-623.
- Sofiane Aboura & Julien Chevallier, 2016. "Spikes and crashes in the oil market," Post-Print halshs-01348711, HAL.
- Florian Ielpo & Benoît Sévi, 2014. "Forecasting the density of oil futures," Working Papers 2014-601, Department of Research, Ipag Business School.
- Julien, Chevallier & Sévi, Benoît, 2013.
"A Fear Index to Predict Oil Futures Returns,"
Energy: Resources and Markets
156489, Fondazione Eni Enrico Mattei (FEEM).
- Julien Chevallier & Benoit Sevi, 2014. "A fear index to predict oil futures returns," Working Papers 2014-333, Department of Research, Ipag Business School.
- Julien Chevallier & Benoît Sévi, 2013. "A Fear Index to Predict Oil Futures Returns," Working Papers 2013.62, Fondazione Eni Enrico Mattei.
- Julien Chevallier & Benoît Sévi, 2014. "A fear index to predict oil futures returns," Post-Print hal-01463111, HAL.
- Qadan, Mahmoud & Idilbi-Bayaa, Yasmeen, 2020. "Risk appetite and oil prices," Energy Economics, Elsevier, vol. 85(C).
- Jeng-Bau Lin & Chin-Chia Liang & Wei Tsai, 2019. "Nonlinear Relationships between Oil Prices and Implied Volatilities: Providing More Valuable Information," Sustainability, MDPI, Open Access Journal, vol. 11(14), pages 1-1, July.
- Ji, Qiang & Fan, Ying, 2016. "Modelling the joint dynamics of oil prices and investor fear gauge," Research in International Business and Finance, Elsevier, vol. 37(C), pages 242-251.
- Sheung Yin Kevin Mo & Anqi Liu & Steve Y. Yang, 2016. "News sentiment to market impact and its feedback effect," Environment Systems and Decisions, Springer, vol. 36(2), pages 158-166, June.
- Deeney, Peter & Cummins, Mark & Dowling, Michael & Bermingham, Adam, 2015. "Sentiment in oil markets," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 179-185.
- Liu, Bing-Yue & Ji, Qiang & Fan, Ying, 2017. "Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model," Energy Economics, Elsevier, vol. 68(C), pages 53-65.
- Campos, I. & Cortazar, G. & Reyes, T., 2017. "Modeling and predicting oil VIX: Internet search volume versus traditional mariables," Energy Economics, Elsevier, vol. 66(C), pages 194-204.
- Jeng-Bau Lin & Wei Tsai, 2019. "The Relations of Oil Price Change with Fear Gauges in Global Political and Economic Environment," Energies, MDPI, Open Access Journal, vol. 12(15), pages 1-1, August.
- repec:dau:papers:123456789/11714 is not listed on IDEAS
- Fousekis, Panos, 2020. "Sign and size asymmetry in the stock returns-implied volatility relationship," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
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- Brice V. Dupoyet & Corey A. Shank, 2018. "Oil prices implied volatility or direction: Which matters more to financial markets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(3), pages 275-295, August.
- Agbeyegbe, Terence D., 2015. "An inverted U-shaped crude oil price return-implied volatility relationship," Review of Financial Economics, Elsevier, vol. 27(C), pages 28-45.
- Ji, Qiang & Liu, Bing-Yue & Nehler, Henrik & Uddin, Gazi Salah, 2018. "Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach," Energy Economics, Elsevier, vol. 76(C), pages 115-126.
- Luo, Xingguo & Qin, Shihua, 2017. "Oil price uncertainty and Chinese stock returns: New evidence from the oil volatility index," Finance Research Letters, Elsevier, vol. 20(C), pages 29-34.
- Nguyen, Duc Khuong & Sousa, Ricardo M. & Uddin, Gazi Salah, 2015. "Testing for asymmetric causality between U.S. equity returns and commodity futures returns," Finance Research Letters, Elsevier, vol. 12(C), pages 38-47.
More about this item
Keywords
WTI; Crude oil price; Implied volatility; Leverage effect; Feedback effect;JEL classification:
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- G1 - Financial Economics - - General Financial Markets
- Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy
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