Jiawen Luo

South China University of Technology

Wushan

Guangzhou, AR Guangdong 510640

China

SCHOLARLY PAPERS

2

DOWNLOADS

214

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Forecasting Realized Volatility of Crude Oil Futures Prices based on Machine Learning

QMS Research Paper 2021/04
Number of pages: 40 Posted: 05 Nov 2020 Last Revised: 17 Mar 2021
South China University of Technology, Chinese Academy of Sciences (CAS) - Institute of Policy and Management, Queen's University Belfast - Queen's Management School and Utrecht University - School of Economics
Downloads 159 (220,864)

Abstract:

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Forecasting, Crude oil, Realized volatility, Exogenous predictors, Machine learning

2.

Forecasting Realized Volatility of Agricultural Commodity Futures with Infinite Hidden Markov HAR Models

International Journal of Forecasting, Forthcoming, QMS Research Paper 2019/10
Number of pages: 42 Posted: 10 Aug 2019 Last Revised: 27 Oct 2019
Jiawen Luo, Tony Klein, Qiang Ji and Chenghan Hou
South China University of Technology, Queen's University Belfast - Queen's Management School, Chinese Academy of Sciences (CAS) - Institute of Policy and Management and Hunan University - Center for Economics, Finance and Management Studies
Downloads 55 (437,024)

Abstract:

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Agriculture commodity futures, Realized volatility forecasts, Infinite Hidden Markov switching process, HAR models