This paper estimates the dynamic conditional correlations in the returns on WTI oil one-month forward prices, and one … dynamic correlations enable a determination of whether the forward and various futures returns are substitutes or complements … daily data on WTI oil forward and futures prices, and their associated returns, from 3 January 1985 to 16 January 2004. At …

CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in … commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between …