Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - Faculteit der Economische Wetenschappen, Erasmus … - 2009
This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot, forward and futures returns from three major benchmarks of international crude oil markets, namely Brent, WTI and Dubai, to aid in risk diversification. Conditional correlations...