Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches
Ke Yang, Fengping Tian, Langnan Chen, Steven Li
| Year of publication: |
May 2017
|
|---|---|
| Authors: | Yang, Ke ; Tian, Fengping ; Chen, Langnan ; Li, Steven |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 49.2017, p. 276-291
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| Subject: | Realized volatility | Forecast | Agricultural commodity futures | Bagging approach | Combination approaches | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Rohstoffderivat | Commodity derivative | 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.iref.2017.01.030 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011748442