英文标题：
《Leverage effect in energy futures》
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作者：
Ladislav Kristoufek
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最新提交年份：
2014
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英文摘要：
We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil. After estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be long-term dependent with the Hurst exponent on a verge of stationarity and non-stationarity. Bypassing this using by using the detrended cross-correlation and the detrending moving-average cross-correlation coefficients, we find the standard leverage effect for both crude oil. For heating oil, the effect is not statistically significant, and for natural gas, we find the inverse leverage effect. Finally, we also show that none of the effects between returns and volatility is detected as the long-term cross-correlated one. These findings can be further utilized to enhance forecasting models and mainly in the risk management and portfolio diversification.
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中文摘要：
我们建议全面处理杠杆效应，即特定资产的回报和波动性之间的关系，重点关注能源商品期货，即布伦特原油和WTI原油、天然气和取暖油。在不假设其行为的任何特定形式的情况下对波动过程进行估计后，我们发现波动率与赫斯特指数在平稳性和非平稳性之间存在长期依赖关系。通过使用去趋势互相关系数和去趋势移动平均互相关系数，我们找到了这两种原油的标准杠杆效应。对于加热油，这种影响在统计上并不显著，而对于天然气，我们发现了反向杠杆效应。最后，我们还表明，收益率和波动率之间的任何影响都不是长期的相互关联的。这些发现可以进一步用于增强预测模型，主要用于风险管理和投资组合多样化。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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