Politis, Dimitris N.; Thomakos, Dimitrios D. - In: Forecasting in the presence of structural breaks and …, (pp. 417-447). 2008
We extend earlier work on the NoVaS transformation approach introduced by Politis (2003a, 2003b). The proposed approach is model-free and especially relevant when making forecasts in the context of model uncertainty and structural breaks. We introduce a new implied distribution in the context of...
