Show simple item record

dc.contributor.authorLuo, J
dc.contributor.authorJi, Q
dc.contributor.authorKlein, T
dc.contributor.authorTodorova, N
dc.contributor.authorZhang, D
dc.date.accessioned2020-09-25T01:06:02Z
dc.date.available2020-09-25T01:06:02Z
dc.date.issued2020
dc.identifier.issn0140-9883
dc.identifier.doi10.1016/j.eneco.2020.104781
dc.identifier.urihttp://hdl.handle.net/10072/397932
dc.description.abstractWe 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.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherElsevier
dc.relation.ispartofpagefrom104781
dc.relation.ispartofjournalEnergy Economics
dc.relation.ispartofvolume89
dc.subject.fieldofresearchElectrical and Electronic Engineering
dc.subject.fieldofresearchMechanical Engineering
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchcode0906
dc.subject.fieldofresearchcode0913
dc.subject.fieldofresearchcode1402
dc.titleOn realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks
dc.typeJournal article
dc.type.descriptionC1 - Articles
dcterms.bibliographicCitationLuo, J; Ji, Q; Klein, T; Todorova, N; Zhang, D, On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks, Energy Economics, 2020, 89, pp. 104781
dcterms.licensehttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.date.updated2020-09-25T00:53:53Z
dc.description.versionAccepted Manuscript (AM)
gro.rights.copyright© 2020 Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence (http://creativecommons.org/licenses/by-nc-nd/4.0/) which permits unrestricted, non-commercial use, distribution and reproduction in any medium, providing that the work is properly cited.
gro.hasfulltextFull Text
gro.griffith.authorTodorova, Neda


Files in this item

This item appears in the following Collection(s)

  • Journal articles
    Contains articles published by Griffith authors in scholarly journals.

Show simple item record