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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
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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
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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