Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - Institute of Economic Research, Kyoto University - 2010
The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC, BEKK and … CCC and VARMA-GARCH suggest holding crude oil spot to futures. In addition, the calculated optimal hedge ratios (OHRs …