Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models
Jiawen Luo, Tony Klein, Qiang Ji, Chenghan Hou
| Year of publication: |
2022
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|---|---|
| Authors: | Luo, Jiawen ; Klein, Tony ; Ji, Qiang ; Hou, Chenghan |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 38.2022, 1, p. 51-73
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| Subject: | Agriculture commodity futures | HAR models | Infinite Hidden Markov switching process | MCS test | Realized volatility forecasts | Volatilität | Volatility | Markov-Kette | Markov chain | Rohstoffderivat | Commodity derivative | Prognoseverfahren | Forecasting model | Schätzung | Estimation | 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.2019.08.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013347412