Tansuchat, R.; Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2010
The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … proportions than spot. For WTI, however, DCC and BEKK suggest holding crude oil futures to spot, but CCC and VARMA-GARCH suggest …