Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models
Published 2019 View Full Article
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Title
Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models
Authors
Keywords
Agriculture commodity futures, Realized volatility forecasts, Infinite Hidden Markov switching process, HAR models, MCS test
Journal
INTERNATIONAL JOURNAL OF FORECASTING
Volume 38, Issue 1, Pages 51-73
Publisher
Elsevier BV
Online
2019-11-29
DOI
10.1016/j.ijforecast.2019.08.007
References
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