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

Massimo Giovannini (), Margherita Grasso, Alessandro Lanza and Matteo Manera ()

Empirica, 2006, vol. 33, issue 4, 193-207

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 (search for similar items in EconPapers)
Date: 2006
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Working Paper: Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants (2004)
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DOI: 10.1007/s10663-006-9001-4

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