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Conditional correlations in the returns on oil companies stock prices and their determinants

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Author Info
Massimo Giovannini
Margherita Grasso
Alessandro Lanza
Matteo Manera ()

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Abstract

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File URL: http://hdl.handle.net/10.1007/s10663-006-9001-4
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Publisher Info
Article provided by Springer in its journal Empirica.

Volume (Year): 33 (2006)
Issue (Month): 4 (September)
Pages: 193-207
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:empiri:v:33:y:2006:i:4:p:193-207

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Web page: http://www.springerlink.com/link.asp?id=100261

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: Constant conditional correlations; Dynamic conditional correlations; Multivariate GARCH models; Stock price indexes; Brent oil prices; Spot and futures prices; Multivariate cointegration; Hedge ratios; C32; G10; Q40;

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Elyasiani, Elyas & Mansur, Iqbal, 1998. "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 535-563, May. [Downloadable!] (restricted)
  2. Brooks, C. & Henry, O.T. & Persand, G., 1999. "Optimal Hedging and the Value of News," Department of Economics - Working Papers Series 717, The University of Melbourne.
  3. Alessandro Lanza & Matteo Manera & Margherita Grasso & Massimo Giovannini, 2003. "Long-run Models of Oil Stock Prices," Working Papers 2003.96, Fondazione Eni Enrico Mattei. [Downloadable!]
  4. Robert F. Engle, 2000. "Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models," University of California at San Diego, Economics Working Paper Series 2000-09, Department of Economics, UC San Diego. [Downloadable!]
  5. McAleer, Michael & Chan, Felix & Hoti, Suhejla & Lieberman, Offer, 2008. "Generalized Autoregressive Conditional Correlation," Econometric Theory, Cambridge University Press, vol. 24(06), pages 1554-1583, December. [Downloadable!]
  6. Flannery, Mark J & James, Christopher M, 1984. " The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions," Journal of Finance, American Finance Association, vol. 39(4), pages 1141-53, September. [Downloadable!] (restricted)
  7. Peter Tufano, 1998. "The Determinants of Stock Price Exposure: Financial Engineering and the Gold Mining Industry," Journal of Finance, American Finance Association, vol. 53(3), pages 1015-1052, 06. [Downloadable!] (restricted)
  8. Jorion, Philippe, 1990. "The Exchange-Rate Exposure of U.S. Multinationals," Journal of Business, University of Chicago Press, vol. 63(3), pages 331-45, July. [Downloadable!] (restricted)
  9. Tim Bollerslev & Jeffrey Wooldridge, 1992. "Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances," Econometric Reviews, Taylor and Francis Journals, vol. 11(2), pages 143-172. [Downloadable!] (restricted)
  10. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August. [Downloadable!] (restricted)
  11. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  12. Jeantheau, Thierry, 1998. "Strong Consistency Of Estimators For Multivariate Arch Models," Econometric Theory, Cambridge University Press, vol. 14(01), pages 70-86, February. [Downloadable!]
  13. Urbain, J-P., 1991. "On Weak Exogeneity in Error Correction Models," Papers 9103, Liege - Centre de Recherches Economiques et Demographiques.
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  14. Jia He & Lilian K. Ng, 1998. "The Foreign Exchange Exposure of Japanese Multinational Corporations," Journal of Finance, American Finance Association, vol. 53(2), pages 733-753, 04. [Downloadable!] (restricted)
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