Leverage effect in energy futures (Energy Economics 2014)

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When last checked on July 17, 2019, a replication of this study was forthcoming in the journal Energy Economics.



Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Ladislav Kristoufek Leverage effect in energy futures Energy Economics 2014 45 1-9 C10, G10, Q40 Energy commodities, Leverage effect, Volatility, Long-term memory

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
- - - - - - - -

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
M. Angeles Carnero, Ana Pérez Leverage effect in energy futures revisited Energy Economics forthcoming - - C22, G10, Q40 Conditional heteroscedasticity, Quasi maximum likelihood, Robust estimators, TGARCH, EGARCH, FIEGARCH 3 - reproduction (new methods) 1 - successful - 0 - no -

References

DOI: 10.1016/j.eneco.2014.06.009 IDEAS: a/eee/eneeco/v45y2014icp1-9.html EconPapers: RePEc:eee:eneeco:v:45:y:2014:i:c:p:1-9


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