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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 and 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: Business School > Finance
Date Deposited: 15 Jul 2020 12:26
URI: https://openaccess.city.ac.uk/id/eprint/24216
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