Andrea Peri

British Petroleum

London

United Kingdom

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Scholarly Papers (1)

1.

Price Dynamic, Volatility and Information Flows in the Oil Industry: A Multivariate Analysis

Number of pages: 31 Posted: 08 Nov 2011 Last Revised: 03 Nov 2014
Alessandro Mauro and Andrea Peri
MKS and British Petroleum
Downloads 279 (140,251)

Abstract:

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crude oil markets, refined product markets, petroleum markets, GARCH, Multivariate GARCH, MGARCH, BEKK, Cointegration, VECM, Granger causality, Weakly Exogenity, volatility transmission