Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - Institute of Economic Research, Kyoto University - 2010
The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC, BEKK and … results show that the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in …) from each multivariate conditional volatility model give the time-varying hedge ratios, and recommend to short in crude oil …