Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: Journal of Forecasting 42 (2022) 4, pp. 785-801
We examine the predictive value of El Niño and La Niña weather episodes for the subsequent realized variance of 16 … realized variance along realized skewness, realized kurtosis, realized jumps, and realized upside and downside tail risks as … the subsequent realized variance. We document such nonlinear links, and that El Niño and La Niña increase forecast …