Oil Price Volatility and Asymmetric Leverage Effects

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.


Issue Date:
May 23 2016
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/235480
Total Pages:
12




 Record created 2017-04-01, last modified 2017-04-26

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