Showing 1 - 10 of 17,329
Persistent link: https://www.econbiz.de/10008669351
Persistent link: https://www.econbiz.de/10003987324
Persistent link: https://www.econbiz.de/10009382992
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
Persistent link: https://www.econbiz.de/10001159939
Persistent link: https://www.econbiz.de/10003857594
Persistent link: https://www.econbiz.de/10009525190
Persistent link: https://www.econbiz.de/10003201028
Persistent link: https://www.econbiz.de/10001665256
Persistent link: https://www.econbiz.de/10001059801