Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - Institute of Economic Research, Kyoto University - 2010
diagonal BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI …, to calculate optimal portfolio weights and optimal hedge ratios, and to suggest a crude oil hedge strategy. The empirical … larger proportions than spot. For WTI, however, DCC, BEKK and diagonal BEKK suggest holding crude oil futures to spot, but …