Empirical prediction intervals are constructed based on the distribution of previous out-of-sample forecast errors. Given historical data, a sample of such forecast errors is generated by successively applying a chosen point forecasting model to a sequence of fixed windows of past observations...

In this article, we investigated the multifractality and its underlying formation mechanisms in international crude oil markets, namely, Brent and WTI, which are the most important oil pricing benchmarks globally. We attempt to find the answers to the following questions: (1) Are those different...

There is a well-developed framework, the Black–Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is...

One of the important issues in finance and economics for both scholars and practitioners is to describe the behavior of markets, especially during times of crises. In this paper, we analyze the behavior of some mature and emerging markets with a Tsallis entropy framework that is a non-extensive...