We construct a set of HAR models with three types of infinite Hidden Markov regime switching structures. Particularly, jumps, leverage effects, and speculation effects are taken into account in realized volatility modeling. We forecast five agricultural commodity futures (Corn, Cotton, Indica...

To assess the economic determinants of oil futures volatility, we firstly develop and estimate a multi-factor oil futures pricing model with stochastic volatility that is able to disentangle long-term, medium-term and short-term variations in commodity markets volatility. The volatility...

This paper analyzes the volatility structure of the commodity derivatives markets. The model encompasses stochastic volatility that may be unspanned by the futures contracts. A generalized hump-shaped volatility specification is assumed that entails a finite-dimensional affine model for the...