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Leverage effect in energy futures
16 references·2 citing·35 second hop
Leverage effect in energy futures (2014)Leverage effect in energy futuresSpeculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis (2011)Speculation and volatility sp…DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)DCCA cross-correlation coeffi…Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Multifractal detrended cross-…Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…Leverage and Volatility Feedback Effects in High-Frequency Data (2006)Leverage and Volatility Feedb…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Estimating long range dependence: finite sample properties and confidence intervals (2001)Estimating long range depende…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…The econometrics of financial markets (1996)The econometrics of financial…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…On the power of the KPSS test of stationarity against fractionally-integrated alternatives (1996)On the power of the KPSS test…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)ESTIMATORS FOR LONG-RANGE DEP…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…Russia–Ukrainian war: measuring the intraday risk dynamics of energy futures contracts using VaR and CVaR (2023)Russia–Ukrainian war: measuri…Quantifying the contagion effect of the 2008 financial crisis between the G7 countries (by GDP nominal) (2016)Quantifying the contagion eff…Fractional Brownian Motions, Fractional Noises and Applications (1968)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Statistical analysis of cointegration vectors (1988)Scaling of the distribution of fluctuations of financial market indices (1999)Statistical properties of the volatility of price fluctuations (1999)VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)The Pricing of Options and Corporate Liabilities (1973)The valuation of options for alternative stochastic processes (1976)Estimating betas from nonsynchronous data (1977)Range‐Based Estimation of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)Volatility forecast comparison using imperfect volatility proxies (2010)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Exact Local Whittle Estimation of Fractional \nIntegration (2002)Social Capital and the Dynamics of Trust in Government (2007)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)Cross-correlations between volume change and price change (2009)Wavelet analysis of long-range-dependent traffic (1998)Effect of nonstationarities on detrended fluctuation analysis (2002)Robust dynamic classes revealed by measuring the response function of a social system (2008)
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  • 1996On the power of the KPSS test of stationarity against fractionally-integrated alternatives

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425 cited
  • 2001Estimating long range dependence: finite sample properties and confidence intervals411 cited
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    • 2016Quantifying the contagion effect of the 2008 financial crisis between the G7 countries (by GDP nominal)74 cited
    • 2023Russia–Ukrainian war: measuring the intraday risk dynamics of energy futures contracts using VaR and CVaR28 cited