We augment the HAR model with additional information channels to forecast realized volatility of WTI futures prices. These channels include stock markets, sentiment indices, commodity and FX markets, and text-based Google indices. We then apply four differing machine learning techniques to...

We study potential drivers for a large cross-section of commodity futures. Unlike previous studies, we examine the effect of monthly drivers on daily returns using mixed-frequency Granger causality tests. We find real economic activity as a main driver on a monthly basis, whereas financial...

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...

This article examines the interconnectedness of WTI and Brent prices on different resolutions of price movements. Firstly, within a multivariate BEKK framework we identify high but volatile correlations with recurring highs around 0.8 and multiple periods of decoupling. OPEC meetings increase...