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dc.contributor.authorChevallier, Julien*
dc.contributor.authorAboura, Sofiane*
dc.date.accessioned2012-07-27T11:21:10Z
dc.date.available2012-07-27T11:21:10Z
dc.date.issued2013-09
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9860
dc.language.isoenen
dc.subjectFeedback Effecten
dc.subjectLeverage Effecten
dc.subjectImplied Volatilityen
dc.subjectCrude Oilen
dc.subjectWTIen
dc.subject.ddc332en
dc.subject.classificationjelQ.Q4.Q40en
dc.subject.classificationjelG.G1.G10en
dc.subject.classificationjelC.C4.C40en
dc.titleLeverage vs. Feedback: Which Effect Drives the Oil Market ?en
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversité Paris X - Paris Ouest Nanterre La Défense;France
dc.description.abstractenThis article brings new insights on the role played by (implied) volatility on the WTI crude oil spot price. An increase in the volatility subsequent to an increase in the oil price (i.e. inverse leverage effect) remains the dominant effect as it might reflect the fear of oil consumers to face rising oil prices. However, this effect is amplified by an increase in the oil price subsequent to an increase in the volatility (i.e. inverse feedback effect) with a two-day delayed effect. This lead-lag relation between the oil price and its volatility is determinant for any type of trading strategy based on futures and options on the OVX implied volatility index, and thus is of interest to traders, risk- and fund-managers.en
dc.identifier.citationpages15 pagesen
dc.relation.isversionofjnlnameFinance Research Letters
dc.relation.isversionofjnlvol10
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2013-09
dc.relation.isversionofjnlpages131-141
dc.relation.isversionofdoi10.1016/j.frl.2013.05.003
dc.identifier.urlsitehttp://halshs.archives-ouvertes.fr/halshs-00720156en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelEconomie financièreen
dc.description.halcandidateoui
dc.description.readershipRecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
hal.person.labIds7958*
hal.person.labIds1032*
hal.identifierhal-01531283*


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