References
- Baillie , R. T. and Bollerslev , T. 1992 . Prediction in dynamic models with time–dependent conditional variances . Journal of Econometrics , 52 : 91 – 113 .
- Bera , A. K. and Higgins , M. 1993 . ARCH models: properties, estimation and testing . Journal of Economic Surveys , 7 : 305 – 366 .
- Bollerslev , T. , Chou , R. Y. and Kroner , K. 1992 . ARCH modelling in finance: a review of the theory and empirical evidence . Journal of Econometrics , 52 : 5 – 59 .
- Engle , R. F. 1982 . Autoregressive conditional heteroscedasticity with estimates of the variance of UK inflation . Econometrica , 4 : 987 – 1007 .
- Garcia-Jurado , I. , Gonzalez-Manteiga , W. , Prada-Sanchez , J. M. , Febrero-Bandre , M. and Cao , R. 1995 . Predicting using Box-Jenkins, nonparametric and bootstrap techniques . Technometrics , 37 : 303 – 310 .
- Kreiss , J. F. and Franke , J. 1992 . Bootstrapping stationary autoregressive moving–average models . Journal of Time Series Analysis , 13 : 297 – 317 .
- Miguel , J. A. and Olave , P. 1997 . Bootstrapping forecast intervals in ARCH models Preprint
- Thombs , L. A. and Schucany , W. R. 1990 . Bootstrap prediction intervals for autoregression . Journal of American Statistics Association , 85 : 486 – 492 .