-based asset allocation strategy outperforms the three alternatives on many common metrics, including annualized return, volatility …

volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of …, Euro, British pound and Japanese yen, against the American dollar, are used to analyze hedge ratios and hedging … Chang et al. [17], we estimate four multivariate volatility models (namely CCC, VARMA-AGARCH, DCC and BEKK), and calculate …

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 … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …