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 … means of random forests to capture in a purely data‐driven way potentially nonlinear links between El Niño and La Niña and … the subsequent realized variance. We document such nonlinear links, and that El Niño and La Niña increase forecast …