Manera, Matteo; Lanza, Alessandro; McAleer, Michael - Fondazione ENI Enrico Mattei (FEEM) - 2004
This paper estimates the dynamic conditional correlations in the returns on WTI oil one-month forward prices, and one …-, three-, six-, and twelve-month futures prices, using recently developed multivariate conditional volatility models. The … daily data on WTI oil forward and futures prices, and their associated returns, from 3 January 1985 to 16 January 2004. At …