This paper introduces a complement statistical test for distinguishing between the predictive accuracy of two sets of forecasts. We propose a non-parametric test founded upon the principles of the Kolmogorov-Smirnov (KS) test, referred to as the KS Predictive Accuracy (KSPA) test. The KSPA test...

In this paper, we construct efficient forecast intervals for autoregressive conditional heteroscedastic (ARCH) models using the bootstrap. Forecast intervals for returns and volatility are constructed using the linear estimator (LE) for ARCH model. An advantage of LE over the widely used quasi...