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~institution:"Erasmus University Rotterdam, Econometric Institute"
~institution:"HAL"
~person:"Chevallier, Julien"
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Crude Oil Price
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Feedback Effect
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Implied Volatility
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Leverage Effect
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Chevallier, Julien
McAleer, M.J.
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Chang, C-L.
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Tansuchat, R.
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Charles, Amélie
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Chen, C-C.
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Chen, P.-Y.
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Darné, Olivier
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Aboura, Sofiane
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Benmenzer, Grégory
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Chang, C.
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Darne, Olivier
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Jérusalem, Céline
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Erasmus University Rotterdam, Econometric Institute
HAL
Université Paris-Dauphine (Paris IX)
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EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
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Leverage vs. Feedback: Which Effect Drives the Oil Market?
Aboura, Sofiane
;
Chevallier, Julien
-
HAL
-
2012
This article brings new insights on the role played by (implied) volatility on the WTI
crude
oil
spot price. An …
Persistent link: https://www.econbiz.de/10010559437
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