Title:

A Bootstrap Approach for Generalized Autocontour Testing Implications for VIX Forecast Densities

Authors:

João Henrique Gonçalves Mazzeu (U Carlos III)
Gloria Gonzalez-Rivera (University of California)
Esther Ruiz (U Carlos III)
Helena Veiga (U Carlos III, ISCTE - Instituto Universitário de Lisboa)

Journal:

Econometric Reviews

Year:

2020

Volume:

39

Number:

10

Pages:

971-990

DOI:

10.1080/07474938.2020.1761150