This paper estimates univariate and multivariate conditional volatility and conditional correlation models of spot, forward and futures returns from three major benchmarks of the international crude ...
The commonality in idiosyncratic volatility cannot be fully explained by time-varying volatility; correlated idiosyncratic volatility shocks are an important contributing factor. We empirically ...
There are several approaches to dealing with heteroscedasticity. If the error variance at different times is known, weighted regression is a good method. If, as is ...
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