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Forecasting Realized Volatility of Agricultural Commodity Futures with Infinite Hidden Markov HAR Models

Luo, Jiawen - 2019

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...

Persistent link: https://www.econbiz.de/10012864916

Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models

Luo, Jiawen; Klein, Tony; Ji, Qiang; Hou, Chenghan - In: International journal of forecasting 38 (2022) 1, pp. 51-73

Persistent link: https://www.econbiz.de/10013347412

On realized volatility of crude oil futures markets : forecasting with exogenous predictors under structural breaks

Luo, Jiawen; Ji, Qiang; Klein, Tony; Todorova, Neda; … - In: Energy economics 89 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012517048

Forecasting realized betas using predictors indicating structural breaks and asymmetric risk effects

Luo, Jiawen; Chen, Zhenbiao; Cheng, Mingmian - In: Journal of empirical finance 80 (2025), pp. 1-24

Persistent link: https://www.econbiz.de/10015329724

Forecasting multivariate volatilities with exogenous predictors : an application to industry diversification strategies

Luo, Jiawen; Cepni, Oguzhan; Demirer, Rıza; Gupta, Rangan - In: Journal of empirical finance 81 (2025), pp. 1-34

Persistent link: https://www.econbiz.de/10015405336

The determinants of liquidity with G-RJMCMC-VS model : evidence from China

Chen, Langnan; Luo, Jiawen; Liu, Hao - In: Economic modelling 35 (2013), pp. 192-198

Persistent link: https://www.econbiz.de/10010258868

Infinite hidden markov switching VARs with application to macroeconomic forecast

Hou, Chenghan - In: International journal of forecasting 33 (2017) 4, pp. 1025-1043

Persistent link: https://www.econbiz.de/10011746941

Volatility dependences of stock markets with structural breaks

Luo, Jiawen; Chen, Langnan - In: The European journal of finance 24 (2018) 17, pp. 1727-1753

Persistent link: https://www.econbiz.de/10012259100

The asymmetric high-frequency volatility transmission across international stock markets

Luo, Jiawen; Wang, Shengquan - In: Finance research letters 31 (2019), pp. 104-109

Persistent link: https://www.econbiz.de/10012421222

Realized volatility forecast of financial futures using time-varying HAR latent factor models

Luo, Jiawen; Chen, Zhenbiao; Wang, Shengquan - In: Journal of management science and engineering 8 (2023) 2, pp. 214-243

We forecast realized volatilities by developing a time-varying heterogeneous autoregressive (HAR) latent factor model with dynamic model average (DMA) and dynamic model selection (DMS) approaches. The number of latent factors is determined using Chan and Grant's (2016) deviation information...

Persistent link: https://www.econbiz.de/10014315947