Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants
Year of publication: |
2004-04
|
---|---|
Authors: | Manera, Matteo ; Giovannini, Massimo ; Grasso, Margherita ; Lanza, Alessandro |
Institutions: | Fondazione ENI Enrico Mattei (FEEM) |
Subject: | Constant conditional correlations | Dynamic conditional correlations | Multivariate GARCH models | Stock price indexes | Brent oil prices | Spot and futures prices | Multivariate cointegration | VECM |
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