Giovannini, Massimo; Grasso, Margherita; Lanza, Alessandro - 2004
actual co-risk in stock returns and their determinants within and between the different oil companies, using multivariate … cointegration techniques in modelling the conditional mean, as well as multivariate GARCH models for the conditional variances. We … specifiy the conditional variances of VECM residuals with the Constant Conditional Correlation (CCC) multivariate GARCH model …