Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity
Fengping Tian, Ke Yang, Langnan Chen
| Year of publication: |
January-March 2017
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|---|---|
| Authors: | Tian, Fengping ; Yang, Ke ; Chen, Langnan |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 33.2017, 1, p. 132-152
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| Subject: | Realized volatility | Forecast | HAR model | Time-varying sparsity | Agricultural commodity futures | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2016.08.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011754691