This paper contributes to the large debate regarding the impact of oil price changes on U.S. GDP growth. Firstly, it replicates empirical findings of prominent studies and finds that the proposed oil price measures have a dissipating effect with recent data up to 2016Q4. Secondly, it re-examines...

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...

We forecast the realized and median realized volatility of agricultural commodities using variants of the Heterogeneous AutoRegressive (HAR) model. We obtain tick-by-tick data for five widely traded agricultural commodities (Corn, Rough Rice, Soybeans, Sugar, and Wheat) from the CME/ICE. Real...