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Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
2019GARCH Models: Structure, Statistical Inference and Financial Applications431 cited
1990Bootstrap Prediction Intervals for Autoregression239 cited
1987Estimating Properties of Autoregressive Forecasts202 cited
2014GARCH Models: Structure, Statistical Inference and Financial Applications191 cited
2011Threshold models in time series analysis — 30 years on187 cited
1985Bootstrap Prediction Intervals for Regression178 cited
2004Bootstrap predictive inference for ARIMA processes138 cited
2011On the least squares estimation of multiple-regime threshold autoregressive models128 cited
1990Bootstrap prediction intervals for autoregressions115 cited
2002Forecasting time series with sieve bootstrap111 cited

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2014Bootstrap Joint Prediction Regions55 cited
2017Robust bootstrap forecast densities for GARCH returns and volatilities31 cited
2015Model-Free vs. Model-Based Volatility Prediction26 cited

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