Oil Price Volatility and Asymmetric Leverage Effects

Eunhee Lee and Doo Bong Han

No 235480, 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts from Agricultural and Applied Economics Association

Abstract: This study adopts a stochastic volatility (SV) model with two asymptotic regimes and a smooth transition for oil returns. We find that SV models with a smooth transition between two regimes imply an asymmetric leverage effect with different regimes. In particular, the half-life of a negative volatility shock is longer than that of a positive shock.

Keywords: Resource/Energy Economics and Policy; Risk and Uncertainty (search for similar items in EconPapers)
Pages: 12
Date: 2016-05-23
New Economics Papers: this item is included in nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/235480/files/O ... For%20AAEA_Final.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea16:235480

DOI: 10.22004/ag.econ.235480

Access Statistics for this paper

More papers in 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts from Agricultural and Applied Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().