Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity
By Fengping Tian, Ke Yang, Langnan Chen. 2017
69 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Electrical and Electronic Engineering, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/7133fdc899b676814e688872e7746bce6b4afcc0
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Fotios Petropoulos
- Konstantinos Nikolopoulos
- Rob J Hyndman
- Nikolaos Kourentzes
- Vassilios Assimakopoulos
- Evangelos Spiliotis
- Spyros Makridakis
- Christoph Bergmeir
In Electrical and Electronic Engineering
- Pierre Pinson
- Thordis Linda Thorarinsdottir
- Fotios Petropoulos
- Christoph Bergmeir
- Ricardo J. Bessa
- Florian Ziel
- Paul Goodwin
- Nikolaos Kourentzes
In Management Science and Operations Research
- Fotios Petropoulos
- Rob J Hyndman
- Konstantinos Nikolopoulos
- Nikolaos Kourentzes
- Vassilios Assimakopoulos
- Spyros Makridakis
- Evangelos Spiliotis
- Christoph Bergmeir
Citations in the corpus
- Forecasting: theory and practice (2020, background): “López Cabrera and Schulz (2016) explore volatility linkages between energy and agricultural commodity prices and then Tian et al. (2017) start a mini-stream on volatility forecasting on agricultural series followed among others by the work of Luo et al. (2019) and of Degiannakis et al. (2020). de…”