Toyoshima, Yuki; Nakajima, Tadahiro; Hamori, Shigeyuki - In: Applied Financial Economics 23 (2013) 12, pp. 1033-1041
This article examines the performance of three multivariate conditional volatility models with respect to crude oil spot and futures returns: the Dynamic Conditional Correlation (DCC) model, Asymmetric Dynamic Conditional Correlation (A-DCC) model and Diagonal Baba-Engle-Kraft-Kroner (Diagonal...
