A Bootstrap Approach for Generalized Autocontour Testing Implications for VIX Forecast Densities
João Henrique Gonçalves Mazzeu,
Gloria Gonzalez-Rivera,
Esther Ruiz,
Helena Veiga
Econometric Reviews,
vol. 39, 2020, p. 971-990.
UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES.
João Henrique Gonçalves Mazzeu,
Esther Ruiz,
Helena Veiga
Journal of Economic Surveys,
vol. 32, 2018, p. 388-419.
Threshold Stochastic Volatility: Properties and Forecasting
Xiuping Mao,
Esther Ruiz,
Helena Veiga
International Journal Of Forecasting,
vol. 33, 2017, p. 1105-1123.
Bootstrap Multi-step Forecasts of Non-gaussian VAR Models
Diego Fresoli ,
Esther Ruiz,
Lorenzo Pascual
International Journal Of Forecasting,
vol. 31, 2015, p. 834-848.