Cargando…
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...
| Autor principal: | |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier
2020
|
| Materias: | |
| 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 |