Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5070019 | Finance Research Letters | 2006 | 19 Pages |
Abstract
This paper estimates the dynamic conditional correlations in the daily returns on West Texas Intermediate (WTI) oil forward and futures prices from 3 January 1985 to 16 January 2004, using recently developed multivariate conditional volatility models. We find that the dynamic conditional correlations can vary dramatically, being negative in four of ten cases and being close to zero in another five cases. Only in the case of the dynamic volatilities of the three-month and six-month futures returns is the range of variation relatively narrow, namely (0.832, 0.996).
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Alessandro Lanza, Matteo Manera, Michael McAleer,