Realized volatility forecasting of agricultural commodity futures using long memory and regime switching
Fengping Tian, Ke Yang and Langnan Chen
| Year of publication: |
July 2017
|
|---|---|
| Authors: | Tian, Fengping ; Yang, Ke ; Chen, Langnan |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 36.2017, 4, p. 421-430
|
| Subject: | agricultural commodity futures | forecast | long memory | realized volatility | regime switching | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | ARMA-Modell | ARMA model | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2443 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011860462