Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

Among many developments in statistical modelling in recent years, non- and semiparametric methods have proved to be a particularly powerful data-analytic tool. Nevertheless, there still exist justified doubts regarding there forecasting performance, for example in the context of financial time...