The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …

between time series' structural breaks. Then, we build on the classical portfolio optimization theory of Markowitz and use …, the lowest volatility, and second-lowest drawdown. The main implication for this method in portfolio management is …