City Research Online - Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models

Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models

Tamvakis, M. ORCID: 0000-0002-5056-0159, Marchese, M., Kyriakou, I. ORCID: 0000-0001-9592-596X & Di Iorio, F. (2020). Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. Denver, Colorado: J.P. Morgan Center for Commodities, University of Colorado at Denver.

Publication Type:	Report
Additional Information:	Copyright © 2020 University of Colorado Denver Business School
Subjects:	H Social Sciences > HD Industries. Land use. Labor H Social Sciences > HG Finance
Departments:	Bayes Business School > Finance

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Creators:	Tamvakis, M. ORCID: 0000-0002-5056-0159 Marchese, M. Kyriakou, I. ORCID: 0000-0001-9592-596X Di Iorio, F.
Status:	Published
Publisher:	J.P. Morgan Center for Commodities, University of Colorado at Denver
URI:	https://openaccess.city.ac.uk/id/eprint/24216
Date available in CRO:	15 Jul 2020 12:26
Date deposited:	15 July 2020
Dates:	Date Event 15 May 2020 Published