This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of … volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging …

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …