Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility-Reference-Cited by-同舟云学术

Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility

Published:2021-09-08 Issue:2 Volume:41 Page:383-404
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Marfatia Hardik A.¹^ORCID,Ji Qiang²³^ORCID,Luo Jiawen⁴^ORCID

Affiliation:

1. Department of Economics Northeastern Illinois University Chicago IL USA

2. Institutes of Science and Development Chinese Academy of Sciences Beijing China

3. School of Public Policy and Management University of Chinese Academy of Sciences Beijing China

4. School of Business Administration South China University of Technology Guangzhou China

Funder

National Natural Science Foundation of China

Fundamental Research Funds for Central Universities of the Central South University

Natural Science Foundation of Guangdong Province

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/for.2811

Reference62 articles.

1. Modeling and Forecasting Realized Volatility

2. Forecasting multivariate realized stock market volatility

3. What Explains the Stock Market's Reaction to Federal Reserve Policy?

4. Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns

5. Speculative activity and returns volatility of Chinese agricultural commodity futures

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