Although volatility clustering has a long history as a salient empirical regularity
characterizing high-frequency speculative prices, it was not until recently that applied …

This paper presents a review of different theoretical approaches to the optimal futures hedge
ratios. These approaches are based on minimum variance, mean-variance, expected utility …

A multivariate time series model with time varying conditional variances and covariances,
but constant conditional correlations is proposed. In a multivariate regression framework, the …

Six different commodities are examined using daily data over two futures contract periods.
Cash and futures prices for all six commodities are found to be well described as …

In this article I present a new approach to model more realistically the variability of financial
time series. I develop a Markov-ARCH model that incorporates the features of both …

The paper examines the performance of several multivariate volatility models, namely CCC,
VARMA-GARCH, DCC, BEKK and diagonal BEKK, for the crude oil spot and futures returns …

We study the feasibility of hedging stocks with oil. The Dynamic Conditional Correlation
(DCC) approach allows for the calculation of optimal hedge ratios and corresponding hedge …

Estimating Time-Varying Optimal Hedge Ratios on Futures Markets Page 1 Estimating Time-Varying
Optimal Hedge Ratios on Futures Markets Robert J. Myers An optimal hedge ratio is usually …

Even though carbon futures as a new asset have attracted the attention of scholars, there
have been few attempts to investigate potential benefits of investing in carbon credits. In this …

The short-term rate of interest is fundamental to much of theoretical and empirical finance,
yet no consensus has emerged on the dynamics of its volatility. We show that models which …