volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of … Chang et al. [17], we estimate four multivariate volatility models (namely CCC, VARMA-AGARCH, DCC and BEKK), and calculate …

This paper investigates the conditional correlations and volatility spillovers between crude oil returns and stock … index returns. Daily returns from 2 January 1998 to 4 November 2009 of the crude oil spot, forward and futures prices from … the WTI and Brent markets, and the FTSE100, NYSE, Dow Jones and S&P500 index returns, are analysed using the CCC model of …

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger …