(2010) by considering heteroscedasticity and includes survey weights, but uses a different bootstrap approach, here referred … (2010) provide empirical evidence of the shortcomings of the clustered bootstrap approach, which yields biased point … as in Van der Weide (2014); and 2) to adapt the parametric bootstrap approach for mean squared error (MSE) estimation …

methods. Finally, we apply the wild bootstrap approach to study the forecast ability of variance risk premia to predict future …