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 ...

Applying well-specified quantitative models in energy forecasting and hedging continues to be challenging. Even well-established approaches require careful adaptations. In this issue of The Journal of ...

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 ...