2 papers
econ.EM2023
GARCHX-NoVaS: A Model-free Approach to Incorporate Exogenous Variables
Kejin Wu, Sayar Karmakar, Rangan Gupta
In this work, we explore the forecasting ability of a recently proposed normalizing and variance-stabilizing (NoVaS) transformation with the possible inclusion of exogenous variabl…
stat.ME2021
Model-free time-aggregated predictions for econometric datasets
Kejin Wu, Sayar Karmakar
This article explores the existing normalizing and variance-stabilizing (NoVaS) method on predicting squared log-returns of financial data. First, we explore the robustness of the…