Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants
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- Massimo Giovannini & Margherita Grasso & Alessandro Lanza & Matteo Manera, 2006. "Conditional correlations in the returns on oil companies stock prices and their determinants," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 33(4), pages 193-207, September.
References listed on IDEAS
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More about this item
KeywordsConstant conditional correlations; Dynamic conditional correlations; Multivariate GARCH models; Stock price indexes; Brent oil prices; Spot and futures prices; Multivariate cointegration; VECM;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
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