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Forecast evaluations for volatile time series : a generalized Theil decomposition
Polasek, Wolfgang, (1999)
Evaluating the forecasts of risk models
Berkowitz, Jeremy, (1999)
Evaluating accuracy (or error) measures
Makridakis, Spyros G., (1995)
In-sample or out-of-sample tests of predictability : which one should we use?
Inoue, Atsushi, (2002)
Bootstrapping smooth functions of slope parameters and innovation variances in VAR (∞) models
Inoue, Atsushi, (1999)
The continuity of the limit distribution in the parameter of interests is not essential for the validity of the bootstrap
Inoue, Atsushi, (2003)