In this paper we present several new ¯ndings on the NoVaS transformation approach for volatility forecasting introduced by Politis (2003a,b, 2007). In particular: (a) we present a new method for accurate volatility forecasting using NoVaS ; (b) we introduce a \time- varying" version of NoVaS...

A new resampling procedure, the continuous-path block bootstrap, is proposed in the context of testing for integrated (unit root) time series. The continuous-path block bootstrap (CBB) is a nonparametric procedure that successfully generates unit root integrated pseudo time series retaining the...

It is shown that the limiting distribution of the augmented Dickey-Fuller (ADF) test under the null hypothesis of a unit root is valid under a very general set of assumptions that goes far beyond the linear AR (∞) process assumption typically imposed. In essence, all that is required is...

The problem of prediction is revisited with a view towards going beyond the typical nonparametric setting and reaching a fully model-free environment for predictive inference, i.e., point predictors and predictive intervals. A basic principle of model-free prediction is laid out based on the...

In order to construct prediction intervals without the combersome--and typically unjustifiable--assumption of Gaussianity, some form of resampling is necessary. The regression set-up has been well-studies in the literature but time series prediction faces additional difficulties. The paper at...