Many financial decisions such as portfolio allocation, risk management, option pricing and hedge strategies are based on the forecast of the conditional variances, covariances and correlations of financial returns. Although the decisions are based on forecasts covariance matrix little is known...

In this study, we propose a new bootstrap strategy to obtain prediction intervals for autoregressive integrated moving-average processes. Its main advantage over other bootstrap methods previously proposed for autoregressive integrated processes is that variability due to parameter estimation...