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Applied Financial Economics Volume 16, 2006 - Issue 7
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Original Articles

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

Matteo Manera Department of Statistics, University of Milan-Bicocca, Italy, and, Fondazione Eni Enrico Mattei, Milan, ItalyCorrespondence[email protected]
,
Michael McAleer School of Economics and Commerce, University of Western Australia
&
Margherita Grasso Department of Economics, Bocconi University, Milan, Italy
Pages 525-533 | Published online: 19 Aug 2006

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Xuan Vinh Vo & Kevin Daly. (2008) Volatility amongst firms in the Dow Jones Eurostoxx50 Index. Applied Financial Economics 18:7, pages 569-582.
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Magnus Andersson, Elizaveta Krylova & Sami Vähämaa. (2008) Why does the correlation between stock and bond returns vary over time?. Applied Financial Economics 18:2, pages 139-151.
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Karim Barati, Arshian Sharif & Korhan K. Gökmenoğlu. 2023. Global Economic Challenges. Global Economic Challenges 1 19 .
Ibrahim Yasar Gok, Serhat Duranay & Hande Uzunoglu Unlu. (2019) Co-movement dynamics of sustainability indices: investigating the diversification opportunities through FTSE4Good index family and Borsa Istanbul sustainability index. Social Responsibility Journal 16:8, pages 1475-1487.
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Halkos & Tsirivis. (2019) Energy Commodities: A Review of Optimal Hedging Strategies. Energies 12:20, pages 3979.
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Dohyun Chun, Hoon Cho & Jihun Kim. (2019) Crude oil price shocks and hedging performance: A comparison of volatility models. Energy Economics 81, pages 1132-1147.
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Chia-Lin Chang, Chia-Ping Liu & Michael McAleer. (2019) Volatility spillovers for spot, futures, and ETF prices in agriculture and energy. Energy Economics 81, pages 779-792.
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Boonlert Jitmaneeroj. (2018) The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs. International Review of Economics & Finance 58, pages 282-298.
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Wen Fang. (2018) Volatility Spillover in Chinese Steel Markets. IOP Conference Series: Materials Science and Engineering 322, pages 052056.
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Srikanta Kundu & Nityananda Sarkar. (2016) Return and volatility interdependences in up and down markets across developed and emerging countries. Research in International Business and Finance 36, pages 297-311.
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Hayette Gatfaoui. (2016) Linking the gas and oil markets with the stock market: Investigating the U.S. relationship. Energy Economics 53, pages 5-16.
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Xiaoye Jin. (2015) Asymmetry in return and volatility spillover between China's interbank and exchange T-bond markets. International Review of Economics & Finance 37, pages 340-353.
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Ron Alquist & Olivier Gervais. (2013) The Role of Financial Speculation in Driving the Price of Crude Oil. The Energy Journal 34:3.
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Chia-Lin Chang, Michael McAleer & Roengchai Tansuchat. (2011) Crude oil hedging strategies using dynamic multivariate GARCH. Energy Economics 33:5, pages 912-923.
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David E. Allen, Michael McAleer, Robert J. Powell & Abhay Kumar-Singh. (2014) Volatility Spillovers from Australia's Major Trading Partners Across the GFC. SSRN Electronic Journal.
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Bernard Ben Sita. (2012) Oil Products and the Volatility Index: Bivariate Volatility Relationships Within a T-GARCH Model. SSRN Electronic Journal.
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Matteo Manera, Marcella Nicolini & Ilaria Vignati. (2012) Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach. SSRN Electronic Journal.
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David E. Allen, Ron Amram & Michael McAleer. (2011) Volatility Spillovers from the Chinese Stock Market to Economic Neighbours. SSRN Electronic Journal.
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Roengchai Tansuchat, Chia-Lin Chang & Michael McAleer. (2010) Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH. SSRN Electronic Journal.
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Gregorio A. Vargas. (2009) Dynamic Equicorrelation with Non-Gaussian Innovations. SSRN Electronic Journal.
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Chia-Lin Chang, Michael McAleer & Roengchai Tansuchat. (2009) Modeling Conditional Correlations for Risk Diversification in Crude Oil Markets. SSRN Electronic Journal.
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Takashi Kanamura. (2008) Monitoring the Upsurge of Biofuels in Commodity Futures Markets. SSRN Electronic Journal.
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Gregorio A. Vargas. (2008) What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?. SSRN Electronic Journal.
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