Künsch (1989, Ann. Statist.17 1217-1241) and Liu ane Singh (1992, in Exploring Limits of Bootstrap (R. Le Page and L. Billard, Eds.), pp. 225-248, Wiley, New York) have recently introduced a block resampling method that is successful in deriving consistent bootstrap estimates of distribution...

This paper gives a computer-intensive approach to multi-step-ahead prediction of volatility in financial returns series under an ARCH/GARCH model and also under a model-free setting, namely employing the NoVaS transformation. Our model-based approach only assumes i..id innovations without...

We develop some asymptotic theory for applications of block bootstrap resampling schemes to multivariate integrated and cointegrated time series. It is proved that a multivariate, continuous-path block bootstrap scheme applied to a full rank integrated process, succeeds in estimating...

The problem of subsampling in two-sample and K-sample settings is addressed where both the data and the statistics of interest take values in general spaces. We focus on the case where each sample is a stationary time series, and construct subsampling confidence intervals and hypothesis tests...

The paper investigates how the particular choice of residuals used in a bootstrap-based testing procedure affects the properties of the test. The properties of the tests are investigated both under the null and under the alternative. It is shown that for non-pivotal test statistics, the method...