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Forecasting commodity prices : GARCH, jumps, and mean reversion
Bernard, Jean-Thomas; Khalaf, Lynda; Kichian, Maral; … - In: Journal of forecasting 27 (2008) 4, pp. 279-291
Persistent link: https://www.econbiz.de/10003826728
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The forecasting efficacy of risk-neutral mopments for crude oil volatility
Chatrath, Arjun; Miao, Hong; Ramchander, Sanjay; Wang, … - In: Journal of forecasting 34 (2015) 3, pp. 177-190
Persistent link: https://www.econbiz.de/10011305272
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Forecasting the volatility of agricultural commodity futures : the role of co-volatility and oil volatility
Marfatia, Hardik A.; Ji, Qiang; Luo, Jiawen - In: Journal of forecasting 41 (2022) 2, pp. 383-404
Persistent link: https://www.econbiz.de/10012817783
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Forecasting oil futures realized range-based volatility with jumps, leverage effect, and regime switching : new evidence from MIDAS models
Lu, Xinjie; Ma, Feng; Wang, Jiqian; Liu, Jing - In: Journal of forecasting 41 (2022) 4, pp. 853-868
Persistent link: https://www.econbiz.de/10013287870
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A functional time series analysis of forward curves derived from commodity futures
Horváth, Lajos; Liu, Zhenya; Rice, Gregory; Wang, Shixuan - In: International journal of forecasting 36 (2020) 2, pp. 646-665
Persistent link: https://www.econbiz.de/10012415316
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Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks
Asai, Manabu; Gupta, Rangan; McAleer, Michael - In: International journal of forecasting 36 (2020) 3, pp. 933-948
Persistent link: https://www.econbiz.de/10012497080
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Realized volatility forecasting of agricultural commodity futures using long memory and regime switching
Tian, Fengping; Yang, Ke; Chen, Langnan - In: Journal of forecasting 36 (2017) 4, pp. 421-430
Persistent link: https://www.econbiz.de/10011860462
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Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity
Tian, Fengping; Yang, Ke; Chen, Langnan - In: International journal of forecasting 33 (2017) 1, pp. 132-152
Persistent link: https://www.econbiz.de/10011754691
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Global economic policy uncertainty aligned : an informative predictor for crude oil market volatility
Zhang, Yaojie; He, Mengxi; Wang, Yudong; Liang, Chao - In: International journal of forecasting 39 (2023) 3, pp. 1318-1332
Persistent link: https://www.econbiz.de/10014465282
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Forecasting crude oil market volatility : a comprehensive look at uncertainty variables
Wen, Danyan; He, Mengxi; Wang, Yudong; Zhang, Yaojie - In: International journal of forecasting 40 (2024) 3, pp. 1022-1041
Persistent link: https://www.econbiz.de/10014547251