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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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Asymmetric error correction models for the oil-gasoline price relationship
Grasso, Margherita (contributor); Manera, Matteo (contributor) - 2005
Persistent link: https://www.econbiz.de/10003357807
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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
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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
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Crude oil hedging strategies using dynamic multivariate GARCH
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669351
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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
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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
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Modelling long memory volatility in agricultural commodity futures returns
Chang, Chia-Lin; McAleer, Michael; Roengchai Tansuchat - 2012
Persistent link: https://www.econbiz.de/10009562958