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Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants

Manera, Matteo; Giovannini, Massimo; Grasso, Margherita; … - Fondazione ENI Enrico Mattei (FEEM) - 2004

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 … of Bollerslev (1990) and the Dynamic Conditional Correlation (DCC) multivariate GARCH model of Engle (2002). The “within …

Persistent link: https://www.econbiz.de/10005385388

Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns

Manera, Matteo; Lanza, Alessandro; McAleer, Michael - Fondazione ENI Enrico Mattei (FEEM) - 2004

This paper estimates the dynamic conditional correlations in the returns on WTI oil one-month forward prices, and one-, three-, six-, and twelve-month futures prices, using recently developed multivariate conditional volatility models. The dynamic correlations enable a determination of whether...

Persistent link: https://www.econbiz.de/10004990039

Endogenous Uncertainty and Market Volatility

Kurz, Mordecai; Motolese, Maurizio - Fondazione ENI Enrico Mattei (FEEM) - 1999

equity premium. In addition, the model predicts: (v) the GARCH property of risky asset returns; (vi) the Forward Discount …

Persistent link: https://www.econbiz.de/10005385431

On the Realized Volatility of the ECX CO2 Emissions 2008 Futures Contract: Distribution, Dynamics and Forecasting

Chevallier, Julien; Sévi, Benoît - Fondazione ENI Enrico Mattei (FEEM) - 2009

. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts …

Persistent link: https://www.econbiz.de/10008502108