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Volatility forecasting for crude oil futures

Marzo, Massimiliano; Zagaglia, Paolo - In: Applied economics letters 17 (2010) 16/18, pp. 1587-1599

Persistent link: https://www.econbiz.de/10009232176

A note on the conditional correlation between energy prices : evidence from future markets

Marzo, Massimiliano; Zagaglia, Paolo - In: Energy economics 30 (2008) 5, pp. 2454-2458

Persistent link: https://www.econbiz.de/10003773784

A further look at the 2004 reform of the operational framework

Marzo, Massimiliano; Zagaglia, Paolo - 2008

Persistent link: https://www.econbiz.de/10003803881

Conditional leptokurtosis in energy prices : multivariate evidence from futures markets

Marzo, Massimiliano (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003491208

Volatility forecasting for crude oil futures

Marzo, Massimiliano (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003491233

Volatility forecasting for crude oil futures

Marzo, Massimiliano (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003480184

Conditional leptokurtosis in energy prices : multivariate evidence from futures markets

Marzo, Massimiliano (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003480217

Macroeconomic factors and oil futures prices : a data-rich model

Zagaglia, Paolo - In: Energy economics 32 (2010) 2, pp. 409-417

Persistent link: https://www.econbiz.de/10003954628

Macroeconomic factors and oil futures prices : a data-rich model

Zagaglia, Paolo - 2009

Persistent link: https://www.econbiz.de/10003803866

The impact of the 2004 reform of the operational framework of the ECB : structural GARCH evidence

Zagaglia, Paolo; Marzo, Massimilano - In: Journal of finance and investment analysis 2 (2013) 1, pp. 85-100

We investigate the money-market impact of the reform of the operational framework of the European Central Bank that took place in March 2004. We estimate a structural bivariate GARCH model with the overnight rate and 1-year swap rate, where identifying restrictions are imposed on the conditional...

Persistent link: https://www.econbiz.de/10009746042