Forecasting the realized volatility of the oil futures market: A regime switching approach

By Feng Ma, M. Wahab, Dengshi Huang, Weiju Xu. 2017

153 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/de1b063e52c94b88f10fe38ae71029a8d74d10f6

Citations in the corpus

• Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models (2019, unknown): “For oil futures, Ma et al. (2017) find that HAR models incorporating jumps yield better forecasting performance along with improvements of portfolio returns, where portfolio weights are calculated based on forecasting volatilities.”