Simultaneous bootstrap confidence bands for skill scores provide valid joint inference in multivariate, multi-horizon forecast comparisons under extended Diebold-Mariano assumptions.
White (2014, Theorem 6.20) directly ensures Assumption 3
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Uncertainty Quantification in Forecast Comparisons
Simultaneous bootstrap confidence bands for skill scores provide valid joint inference in multivariate, multi-horizon forecast comparisons under extended Diebold-Mariano assumptions.