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Full-Text Articles in Physical Sciences and Mathematics
Conditional Correlations In The Returns On Oil Companies Stock Prices And Their Determinants, Massimo Giovannini, Margherita Grasso, Alessandro Lanza, Matteo Manera
Conditional Correlations In The Returns On Oil Companies Stock Prices And Their Determinants, Massimo Giovannini, Margherita Grasso, Alessandro Lanza, Matteo Manera
Matteo Manera
The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance. This analysis is particularly relevant for determining optimal hedging strategies based on whether shocks to the volatilities of returns of oil companies stock prices, relevant stock market indexes and oil spot and futures prices are high or low, and positively or negatively correlated. This paper investigates the correlations of volatilities in the stock price returns and their determinants for the most important integrated oil companies, namely Bp (BP), Chevron-Texaco (CVX), Eni (ENI), Exxon-Mobil (XOM), Royal …
Modelling Dynamic Conditional Correlations In Wti Oil Forward And Futures Returns, Alessandro Lanza, Matteo Manera, Micheal Mcaleer
Modelling Dynamic Conditional Correlations In Wti Oil Forward And Futures Returns, Alessandro Lanza, Matteo Manera, Micheal Mcaleer
Matteo Manera
This paper estimates the dynamic conditional correlations in the returns on WTI oil onemonth forward prices, and one-, three-, six-, and twelve-month futures prices, using recently developed multivariate conditional volatility models. The dynamic correlations enable a determination of whether the forward and various futures returns are substitutes or complements, which are crucial for deciding whether or not to hedge against unforeseen circumstances. The models are estimated using daily data on WTI oil forward and futures prices, and their associated returns, from 3 January 1985 to 16 January 2004. At the univariate level, the estimates are statistically significant, with the occasional …