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 …

uncertainty, we show that besides the market return and market volatility, three disappointment-related factors are also priced: a … downstate factor, a market downside factor, and a volatility downside factor. We find that expected returns on various asset …

. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity … volatility spillover effect. Empirical results show that the NFNE futures exhibit superior effectiveness as an instrument for …

This study investigates return and asymmetric volatility spillovers and dynamic correlations between the main and small … pandemic. Return and volatility spillovers are modelled using a VAR-asymmetric BEKK-GARCH (1,1) model, while a VAR … spillovers between the main and SME stock markets are limited to Saudi Arabia, shock and volatility spillovers have different …

examines dynamic connectedness and contagion effects of their implied volatility shocks. We then proceed to the examination of … the optimal hedging strategies and optimal portfolio weights for implied volatility portfolios between oil and financial … assets. The results suggest that oil implied volatility (OVX) is a net volatility receiver of shocks, whereas implied …