Tansuchat, Roengchai; Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
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 … holding crude oil spot to futures. In addition, the calculated optimal hedge ratios (OHRs) from each multivariate conditional …