Jiawen Luo

South China University of Technology

Wushan

Guangzhou, AR Guangdong 510640

China

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

International Journal of Forecasting, Forthcoming, QMS Research Paper 2019/10
Number of pages: 42 Posted: 10 Aug 2019 Last Revised: 27 Oct 2019
Jiawen Luo, Tony Klein, Qiang Ji and Chenghan Hou
South China University of Technology, Queen's University Belfast - Queen's Management School, Chinese Academy of Sciences (CAS) - Institute of Policy and Management and Hunan University - Center for Economics, Finance and Management Studies
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Abstract:

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Agriculture commodity futures, Realized volatility forecasts, Infinite Hidden Markov switching process, HAR models