Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices
MathematicsMotivated by the comovement of realized volatilities (RVs) of agricultural commodity prices, we study whether multi-task forecasting algorithms improve the accuracy of out-of-sample forecasts of 15 agricultural commodities during the sample period from ...
Rangan Gupta, Christian Pierdzioch
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On the relevance of realized quarticity for exchange rate volatility forecasts
Data Science in Finance and EconomicsHigh-frequency tick data have proved helpful for forecasting volatility across asset classes. In the finite samples typically faced by practitioners, however, noise inherent in tick-level prices creates inaccuracies in model parameter estimates and ...
Morten Risstad, Mathias Holand
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Stationary bootstrapping realized volatility under market microstructure noise [PDF]
, 2013 Eunju Hwang, Dong Wan Shin
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The predictive power of oil price shocks on realized volatility of oil: A note. [PDF]
Resour Policy, 2020 Demirer R +3 more
europepmc +1 more source
Macro factors and the realized volatility of commodities: A dynamic network analysis. [PDF]
Resour Policy, 2020 Hu M, Zhang D, Ji Q, Wei L.
europepmc +1 more source
A dynamic analysis of the relationship between investor sentiment and stock market realized volatility: Evidence from China. [PDF]
PLoS One, 2020 Chen Y, Zhao H, Li Z, Lu J.
europepmc +1 more source
Multivariate Modeling of Natural Gas Spot Trading Hubs Incorporating\n Futures Market Realized Volatility [PDF]
, 2019 Michael Weylandt +2 more
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Application of Persistent Homology in Forecasting Realized Volatility
, 2023 Hugo Gobato Souto
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Realized volatility spillovers in the non-ferrous metal futures market
, 2013 Neda Todorova +2 more
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