Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward retu...
Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns
About this item
Full title
Author / Creator
Publisher
London: Routledge
Journal title
Language
English
Formats
Publication information
Publisher
London: Routledge
Subjects
More information
Scope and Contents
Contents
This paper estimates the dynamic conditional correlations in the returns on Tapis oil spot and one-month forward prices for the period 2 June 1992 to 16 January 2004, using recently developed multivariate conditional volatility models, namely the Constant Conditional Correlation Multivariate GARCH (CCC-MGARCH) model of Bollerslev (
1990
), Ve...
Alternative Titles
Full title
Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_informaworld_taylorfrancis_310_1080_09603100500426465
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_informaworld_taylorfrancis_310_1080_09603100500426465
Other Identifiers
ISSN
0960-3107
E-ISSN
1466-4305
DOI
10.1080/09603100500426465
