We propose a general and relatively simple method to construct goodness-of-fit tests on the sphere and the hypersphere. The method is based on the characterization of probability distributions via their characteristic function, and it leads to test criteria that are convenient regarding...

When forecasting conditional correlations that evolve according to a Dynamic Conditional Correlation (DCC) model, only point forecasts can be obtained at each moment of time. In this paper, we analyze the finite sample properties of a bootstrap procedure to approximate the density of these...

In this paper, we show how to simplify the construction of bootstrap prediction densities in multivariate VAR models by avoiding the backward representation. Bootstrap prediction densities are attractive because they incorporate the parameter uncertainty a any particular assumption about the...