Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the magnitude of the jump intensity parameter in the data...

The development of new tests and methods used in the evaluation of time series forecasts and forecasting models remains as important today as it has for the last 50 years. Paraphrasing what Sir Clive W.J. Granger (arguably the father of modern day time series forecasting) said in the 1990s at a...