Westerlund and Narayan predictability test: Step-by-step approach using COVID-19 and oil price data

In this note, we provide a step-by-step approach of Westerlund and Narayan (WN, 2012, 2015) predictability test using COVID-19 and oil price data. This is an important exercise because the WN model addresses three salient features of time series data, namely persistency, endogeneity and heteroskedas...

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Detalles Bibliográficos
Autor principal: Sharma, Susan Sunila
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2020
Materias:
Method Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8374153/
https://www.ncbi.nlm.nih.gov/pubmed/34434725
http://dx.doi.org/10.1016/j.mex.2020.101201

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8374153/
https://www.ncbi.nlm.nih.gov/pubmed/34434725
http://dx.doi.org/10.1016/j.mex.2020.101201

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