Summary This paper demonstrates the cases where bootstrap does not work for heteroscedastic time series models. We construct prediction intervals for the ARMA-GARCH models using bootstrap and see how a wrong application of bootstrap could lead to a false conclusion

In this paper we introduce the nonparametric AR(1)–ARCH(1) model and show weak consistency of the Nadaraya–Watson estimators for the model. We propose a residual and a wild bootstrap method and prove weak consistency of the bootstrap estimators.

Block factor methods offer an attractive approach to forecasting with many predictors. These extract the information in these predictors into factors reflecting different blocks of variables (e.g. a price block, a housing block, a financial block, etc.). However, a forecasting model which simply...