In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric kernel estimators of the aforementioned...

In this chapter we discuss model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with particular emphasis on the construction of valid bootstrap...

This article raises some questions about the usefulness of meta-analysis as a means of reviewing quantitative research in the social sciences. When a meta-analytic model for SAT coaching is used to predict results from future studies, the amount of prediction error is quite large....