There has been a large amount of research on long memory in economic and financial time series. However, there is still no consensus on its presence in these series. We argue in this article that spurious short memory may be found because of the use of bandwidth parameters that diverge too...

Quantile forecasting has become an important research topic in econometrics as policy makers and investors are increasingly interested to focus more on downside (upside) risks rather than learning about the most likely outcome. Simultaneously, practitioners have largely used textual data to con-...