cointegration techniques in modelling the conditional mean, as well as multivariate GARCH models for the conditional variances. We …

and product price dynamics using cointegration and error correction models. Subsequently we use the error correction …

-Mobil, Royal Dutch Shell, Total-Fina-Elf) using multivariate cointegration techniques and vector error correction models. Weekly …

This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the … persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we … estimate the effects of oil price shocks on the price volatility of metals, allowing for the asymmetric responses. We use daily …