Multivariate realized volatility forecasts of agricultural commodity futures-Reference-Cited by-同舟云学术

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Multivariate realized volatility forecasts of agricultural commodity futures

Published:2019-09-06 Issue:12 Volume:39 Page:1565-1586
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Luo Jiawen¹^ORCID,Chen Langnan²

Affiliation:

1. School of Business AdministrationSouth China University of Technology Guangzhou China

2. Lingnan (University) CollegeSun Yat‐sen University Guangzhou China

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22052

Reference37 articles.

1. Modeling and forecasting realized covariance matrices with accounting for leverage

2. Modeling and Forecasting Realized Volatility

3. Realized Volatility

4. Multivariate Stochastic Volatility: A Review

5. Modeling tick-by-tick realized correlations

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Forecasting volatility in commodity markets with long-memory models;Journal of Commodity Markets;2022-12

2. Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility;Journal of Forecasting;2021-09-08

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