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~isPartOf:"Working paper"
~person:"Giovannini, Massimo"
~person:"Roengchai Tansuchat"
~subject:"Kointegration"
~subject:"Volatilität"
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Giovannini, Massimo
Roengchai Tansuchat
McAleer, Michael
42
Manera, Matteo
16
Chang, Chia-Lin
15
Neely, Christopher J.
15
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ECONIS (ZBW)
8
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1
Conditional correlations in the returns on oil companies stock prices and their determinants
Giovannini, Massimo
;
Grasso, Margherita
;
Lanza, Alessandro
-
2004
cointegration
techniques in modelling the conditional mean, as well as multivariate GARCH models for the conditional variances. We …
Persistent link: https://www.econbiz.de/10011603089
Saved in:
2
Oil and product price dynamics in international petroleum markets
Lanza, Alessandro
;
Manera, Matteo
;
Giovannini, Massimo
-
2003
and product price dynamics using
cointegration
and error correction models. Subsequently we use the error correction …
Persistent link: https://www.econbiz.de/10011592760
Saved in:
3
Long-run models of oil stock prices
Lanza, Alessandro
;
Manera, Matteo
;
Grasso, Margherita
; …
-
2003
-Mobil, Royal Dutch Shell, Total-Fina-Elf) using multivariate
cointegration
techniques and vector error correction models. Weekly …
Persistent link: https://www.econbiz.de/10011592924
Saved in:
4
Conditional correlations and
volatility
spillovers between crude oil and stock index returns
Roengchai Tansuchat
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008669344
Saved in:
5
Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008669351
Saved in:
6
Analyzing and forecasting
volatility
spillovers, asymmetries and hedging in major oil markets
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
-
2010
Persistent link: https://www.econbiz.de/10008669993
Saved in:
7
Modelling conditional correlations in the
volatility
of Asian rubber spot and futures returns
Chang, Chia-Lin
;
Khamkaew, Thanchanok
;
McAleer, Michael
; …
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10008689063
Saved in:
8
Modelling long memory
volatility
in agricultural commodity futures returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
-
2012
Persistent link: https://www.econbiz.de/10009562958
Saved in:
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