On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks
文献类型：期刊论文
| 作者 | Luo, Jiawen; Ji, Qiang; Klein, Tony; Todorova, Neda; Zhang, Dayong |
| 刊名 | ENERGY ECONOMICS
 |
| 出版日期 | 2020 |
| 卷号 | 89 |
| DOI | 10.1016/j.eneco.2020.104781 |
| 英文摘要 | We introduce Infinite Hidden Markov (IHM) models to forecasting realized volatilities of crude oil futures markets with exogenous factors. With these IHM models, we lift the restriction of a pre-defined number of regimes and allow for an unknown number of different parameter regimes and breakpoints. We employ two types of infinite hidden Markov models to accommodate structural breaks incurred by policy changes, exogenous shocks, and other factors. We find that IHM-HAR models outperform all other non-switching variants. In regard to forecasting performance, IHM-HAR models with exogenous factors such as realized volatilities of competing futures markets and the S&P500 are superior model choices for short-term forecasts. For longer-term forecasts, the equity channel shows only little positive impact. Evidence of economic gains in portfolio construction based on IHM-HAR forecasts is provided. (C) 2020 Elsevier B.V. All rights reserved. |
| 语种 | 英语 |
| 源URL | [http://ir.casisd.cn/handle/190111/9765]  |
| 专题 | 中国科学院科技战略咨询研究院 |
| 推荐引用方式 GB/T 7714 | Luo, Jiawen,Ji, Qiang,Klein, Tony,et al. On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks[J]. ENERGY ECONOMICS,2020,89. |
| APA | Luo, Jiawen,Ji, Qiang,Klein, Tony,Todorova, Neda,&Zhang, Dayong.(2020).On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks.ENERGY ECONOMICS,89. |
| MLA | Luo, Jiawen,et al."On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks".ENERGY ECONOMICS 89(2020). |
入库方式： OAI收割
来源：科技战略咨询研究院
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