Realized volatility forecasting of agricultural commodity futures using long memory and regime switching
Year of publication: |
July 2017
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Authors: | Tian, Fengping ; Yang, Ke ; Chen, Langnan |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 36.2017, 4, p. 421-430
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Subject: | agricultural commodity futures | forecast | long memory | realized volatility | regime switching | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Rohstoffderivat | Commodity derivative | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income | Agrarprodukt | Agricultural product |
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