Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil vola...
Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility
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Chichester: Wiley Periodicals Inc
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English
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Chichester: Wiley Periodicals Inc
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We forecast the realized volatilities of China's agricultural commodity futures (corn, cotton, palm, wheat, and soybean) using a set of multivariate heterogeneous autoregressive (MHAR) models. We consider different error structures to capture the co‐movement of volatility (co‐volatility) between commodity futures to obtain out‐of‐sample forecasts o...
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Full title
Forecasting the volatility of agricultural commodity futures: The role of co‐volatility and oil volatility
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TN_cdi_proquest_journals_2625117138
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https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2625117138
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ISSN
0277-6693
E-ISSN
1099-131X
DOI
10.1002/for.2811
