Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - In: Energy Economics 33 (2011) 5, pp. 912-923
The paper examines the performance of several multivariate volatility models, namely CCC, VARMA-GARCH, DCC, BEKK and diagonal 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...