Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns
نویسندگان
چکیده
منابع مشابه
Modelling Dynamic Conditional Correlations in Spot, Forward and Futures Returns
Volatility (or risk) is a key variable in many areas of finance, and there are many applications that require an accurate estimate of volatility. One important application is in designing optimal dynamic hedging strategies. Engle (1982) proposed an autoregressive conditional heteroscedasticity (ARCH) model, which allows the conditional variance to change over time. This model has been extended ...
متن کاملModelling Dynamic Conditional Correlations in the Volatility of Spot and Forward Oil Price Returns
This paper estimates the dynamic conditional correlations in the returns on Tapis oil spot and onemonth forward prices for the period 2 June 1992 to 16 January 2004, using recently developed multivariate conditional volatility models, namely the Constant Conditional Correlation Multivariate GARCH (CCCMGARCH) model of Bollerslev [1990], Vector Autoregressive Moving Average – GARCH (VARMAGARCH) m...
متن کاملModelling conditional correlations in the volatility of Asian rubber spot and futures returns
Asia is presently the most important market for the production and consumption of natural rubber. World prices of rubber are not only subject to changes in demand, but also to speculation regarding future markets. Japan and Singapore are the major futures markets for rubber, while Thailand is one of the world's largest producers of rubber. As rubber prices are influenced by external markets, it...
متن کاملModelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution
This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on currency futures, government bonds and...
متن کاملModelling Conditional Correlations in International Tourism Demand
International tourism demand, or tourist arrivals, to Australia has recently experienced dramatic fluctuations due to changes in the economic, financial and political environment. However, variations in tourism demand, specifically the conditional variance, or volatility, have not previously been investigated. An analysis of such volatility is essential for investigating the effects of shocks i...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.546484