Lanza, Alessandro; Manera, Matteo; McAleer, Michael - 2004
-, three-, six-, and twelve-month futures prices, using recently developed multivariate conditional volatility models. The … shocks have a greater impact on volatility than positive shocks. In all cases, both the short- and long-run persistence of … estimate of constant conditional correlation being 0.975 between the volatilities of the three-month and six-month futures …