Volatility forecasting in the Chinese commodity futures market with intraday data
(2016)
Journal Article
Ying, J., Shamin, A., & Xiaoquan, L. (in press). Volatility forecasting in the Chinese commodity futures market with intraday data. Review of Quantitative Finance and Accounting, https://doi.org/10.1007/s11156-016-0570-4
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... Read More about Volatility forecasting in the Chinese commodity futures market with intraday data.