Tansuchat, R.; Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2010
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 to suggest a crude oil hedge strategy. The empirical results show that … proportions than spot. For WTI, however, DCC and BEKK suggest holding crude oil futures to spot, but CCC and VARMA-GARCH suggest …