On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks
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DOI: 10.1016/j.eneco.2020.104781
Abstract: 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… read more here.
Keywords: oil futures; structural breaks; futures markets; crude oil ... See more keywords