Conditional correlations in the returns on oil companies stock prices and their determinants
Year of publication: |
2006
|
---|---|
Authors: | Giovannini, Massimo ; Grasso, Margherita ; Lanza, Alessandro ; Manera, Matteo |
Published in: |
Empirica. - Springer, ISSN 0340-8744. - Vol. 33.2006, 4, p. 193-207
|
Publisher: |
Springer |
Subject: | Constant conditional correlations | Dynamic conditional correlations | Multivariate GARCH models | Stock price indexes | Brent oil prices | Spot and futures prices | Multivariate cointegration | Hedge ratios |
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Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants
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