Showing 1 - 5 of 5
Persistent link: https://www.econbiz.de/10003455322
Persistent link: https://www.econbiz.de/10008669351
Persistent link: https://www.econbiz.de/10003987324
Persistent link: https://www.econbiz.de/10010198257
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 optimal portfolio weights and optimal hedge ratios, and...
Persistent link: https://www.econbiz.de/10013149486