Forecasting Realized Volatility of Agricultural Commodity Futures with Infinite Hidden Markov HAR Models
Year of publication: |
2019
|
---|---|
Authors: | Luo, Jiawen |
Other Persons: | Klein, Tony (contributor) ; Ji, Qiang (contributor) ; Hou, Chenghan (contributor) |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Markov-Kette | Markov chain | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Prognose | Forecast |
Extent: | 1 Online-Ressource (42 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: International Journal of Forecasting, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 9, 2019 erstellt |
Other identifiers: | 10.2139/ssrn.3435054 [DOI] |
Classification: | C52 - Model Evaluation and Testing ; G17 - Financial Forecasting ; Q14 - Agricultural Finance |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Predicting volatility based on interval regression models
Qu, Hui, (2022)
-
Forecasting Realized Volatility with wavelet decomposition
Souropanis, Ioannis, (2021)
-
Oil price forecasting using crack spread futures and oil exchange traded funds
Choi, Hankyeung, (2015)
- More ...
-
Luo, Jiawen, (2019)
-
Luo, Jiawen, (2022)
-
Forecasting Realized Volatility of Crude Oil Futures Prices based on Machine Learning
Luo, Jiawen, (2021)
- More ...