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000235480 005__ 20180123004209.0
000235480 037__ $$a333-2016-14724
000235480 041__ $$aen_US
000235480 245__ $$aOil Price Volatility and Asymmetric Leverage Effects
000235480 260__ $$c2016-05-23
000235480 269__ $$a2016-05-23
000235480 270__ $$mleeeunhee@korea.ac.kr$$pLee,   Eunhee
000235480 300__ $$a12
000235480 336__ $$aConference Paper/ Presentation
000235480 520__ $$aThis 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.
000235480 542__ $$fLicense granted by Eunhee Lee (leeeunhee@korea.ac.kr) on 2016-05-23T05:41:32Z (GMT):

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000235480 650__ $$aResource /Energy Economics and Policy
000235480 650__ $$aRisk and Uncertainty
000235480 6531_ $$aOil prices
000235480 6531_ $$astochastic volaility
000235480 6531_ $$aleverage effect
000235480 6531_ $$ahalf-life of volatility shock
000235480 700__ $$aLee, Eunhee
000235480 700__ $$aHan, Doo Bong
000235480 773__ $$d2016
000235480 8564_ $$s281733$$uhttp://ageconsearch.umn.edu/record/235480/files/Oil_SV_20160523_For%20AAEA_Final.pdf
000235480 887__ $$ahttp://purl.umn.edu/235480
000235480 909CO $$ooai:ageconsearch.umn.edu:235480$$pGLOBAL_SET
000235480 912__ $$nSubmitted by Eunhee Lee (leeeunhee@korea.ac.kr) on 2016-05-23T05:57:11Z
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  Previous issue date: 2016-05-23
000235480 982__ $$gAgricultural and Applied Economics Association>2016 Annual Meeting, July 31-August 2, Boston, Massachusetts
000235480 980__ $$a333