Forecasting the realized volatility of the oil futures market: A regime switching approach - Ma, Feng; Wahab, M.I.M.; Huang, Dengshi; Xu, Weiju (Energy economics, 2017)
Keywords: Autoregressive models; Autoregressive processes; Benchmarks; Crude oil; Economic forecasting; Energy economics; Forecasting; Forecasting evaluation; Futures market; HAR-RV-type models; Markets; Markov analysis; Markov chains; Petroleum; Regime switching approach; Studies; Switching; Volatility; Volatility forecasting; Windows; C53; C22; HAR-RV-type models; C58; Regime switching approach; E37; Volatility forecasting; E27; G14; Forecasting evaluation