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ArticleLeverage effect in energy futures

Ladislav Krištoufek2014

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Articlegreen2014

Leverage effect in energy futures

Ladislav Krištoufek

77 citations·0/0 files stored·Energy Economics

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Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

2002Multifractal detrended fluctuation analysis of nonstationary time series 2001Empirical properties of asset returns: stylized facts and statistical issues 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1991Long-Term Memory in Stock Market Prices 1980On the Estimation of Security Price Volatilities from Historical Data 1996Statistics for Long-Memory Processes.2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series 1995Gaussian Semiparametric Estimation of Long Range Dependence

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Year2014

Typearticle

Published2014-06-25

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations77

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.eneco.2014.06.009

openalex_workW3124256151

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