A Two-Regime Markov-Switching GARCH Active Trading Algorithm for Coffee, Cocoa, and Sugar Futures - De la Torre-Torres, Oscar V.; Aguilasocho-Montoya, Dora; del Río-Rama, María de la Cruz (Mathematics (Basel), 2020)
Keywords: Agricultural commodities; Algorithms; Autoregressive models; Cocoa; Coffee; Commodity futures; commodity futures’ trading; computational finance; Computer simulation; financial market distress prediction; Food science; Hedging; Investment policy; Investments; Markov chain Monte Carlo; Markov-switching GARCH; Probability; Recessions; Securities markets; soft commodities; Standard deviation; Stochastic models; Stock exchanges; Switching; Time series; United Kingdom--UK; United States--US