Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns

Applied Financial Economics

Volumn 16, Issue 7, 2006, Pages 525-533

  Manera, Matteo ^a,d   McAleer, Michael ^b   Grasso, Margherita ^c  

^a UNIVERSITY OF MILANO BICOCCA   (Italy)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

^c BOCCONI UNIVERSITY   (Italy)

^d FONDAZIONE ENI ENRICO MATTEI   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

CORRELATION; ECONOMIC ANALYSIS; MODELING; MULTIVARIATE ANALYSIS; REGRESSION ANALYSIS;

EID: 33646345011     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/09603100500426465     Document Type: Article

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