Volatility forecasting in the Chinese commodity futures market with intraday data

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Volatility forecasting in the Chinese commodity futures market with intraday data

Given the unique institutional regulations in the Chinese commodity futures market as well as the characteristics of the data it generates, we utilize contracts with three months to delivery, the most liquid contract series, to systematically explore volatility forecasting for aluminum, copper, fuel...

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Bibliographic Details
Main Authors:	Ying, Jiang, Shamin, Ahmed, Xiaoquan, Liu
Format:	Article
Language:	English
Published:	Springer 2016
Subjects:	Out-of-sample predictability; Long memory time series; Futures market regulation; Realized volatility; Econometric models
Online Access:	https://eprints.nottingham.ac.uk/34280/

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