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.

Modeling and Forecasting the Oil Volatility Index
João Henrique Gonçalves Mazzeu, Helena Veiga, Massimo B. Mariti
Journal Of Forecasting, vol. 38, 2019, p. 773-787.

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.