good on the present set of measures as the stochastic volatility models, with or without dynamic correlation. …The focus of this article is using dynamic correlation models for the calculation of minimum variance hedge ratios …. Modelling the correlation explicitly is shown to produce the best hedges when applied to the simulated data. For financial time …

conditional correlation (CCC), dynamic conditional correlation (DCC), factor, asymmetric DCC and BEKK. Our simulations show that …

volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after ….e. volatility of the contract increases as it nears to expiration since financialisation. This confirms the importance of accounting …

; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The … well as several subsystems and the results discussed in detail. -- Multivariate GARCH ; Constant conditional correlation …

In this paper, we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new … double smooth transition conditional correlation (DSTCC) GARCH model extends the smooth transition conditional correlation … discover that the correlation pattern between them has dramatically changed around the turn of the century. The model is also …