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“Go Wild for a While!”: A New Test for Forecast Evaluation in Nested Models.
In this paper, we present a new asymptotically normal test for out-of-sample evaluation in nested models. Our approach is a simple modification of a traditional encompassing test that is commonly known as Clark and West ...
The predictive power of stock market’s expectations volatility: A financial synchronization phenomenon
(PLoS ONE, 2021)
We explore the use of implied volatility indices as a tool for estimate changes in the synchronization of stock markets. Specifically, we assess the implied stock market’s volatility indices’ predictive power on synchronizing ...