Lanza, Alessandro; Manera, Matteo; McAleer, Michael - 2004
-, three-, six-, and twelve-month futures prices, using recently developed multivariate conditional volatility models. The … dynamic correlations enable a determination of whether the forward and various futures returns are substitutes or complements … daily data on WTI oil forward and futures prices, and their associated returns, from 3 January 1985 to 16 January 2004. At …