Modelling dynamic conditional correlations in WTI oil forward and futures returns
Year of publication: |
April 2004
|
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Authors: | Lanza, Alessandro ; Manera, Matteo ; McAleer, Michael |
Publisher: |
[Milano] : Fondazione Eni Enrico Mattei |
Subject: | Constant conditional correlations | Dynamic conditional correlations | Multivariate GARCH models | Forward prices and returns | Futures prices and returns | WTI oil prices | Ölmarkt | Oil market | Rohstoffderivat | Commodity derivative | Ölpreis | Oil price | ARCH-Modell | ARCH model | Korrelation | Correlation | Effizienzmarkthypothese | Efficient market hypothesis |
Extent: | 1 Online-Ressource (circa 34 Seiten) Illustrationen |
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Series: | Working paper. - Milan : [Verlag nicht ermittelbar], ZDB-ID 2217241-5. - Vol. 2004, 72 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | hdl:10419/117949 [Handle] |
Classification: | C32 - Time-Series Models ; G10 - General Financial Markets. General ; Q40 - Energy. General |
Source: | ECONIS - Online Catalogue of the ZBW |
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