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Bootstrap prediction intervals in state–space models

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References

1994Multivariate Stochastic Variance Models1,367 cited
1982Financial returns modelled by the product of two stochastic processes-A study of the daily sugar prices 1961-75326 cited
1990Bootstrap Prediction Intervals for Autoregression239 cited
1991Discovering the Link Between Inflation Rates and Inflation Uncertainty176 cited
1993Unobserved-Component Time Series Models With Markov-Switching Heteroscedasticity: Changes in Regime and the Link Between Inflation Rates and Inflation Uncertainty167 cited
2004Bootstrap predictive inference for ARIMA processes138 cited
2005Bootstrap Approximation to Prediction MSE for State–Space Models with Estimated Parameters101 cited

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2010Beyond point forecasting: Evaluation of alternative prediction intervals for tourist arrivals53 cited
2015Tests for serial dependence in static, non-Gaussian factor models31 cited
2016A pairs trading strategy based on linear state space models and the Kalman filter31 cited

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