Bootstrapping Financial Time Series

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Frontiers in VaR forecasting and backtesting (2016, methodology): “…Historical Simulation The quantile qαε can be estimated using bootstrap methods that do not assume any particular distribution of the errors; see Ruiz and Pascual (2002) for a review of the literature on using bootstrap procedures in financial time series and, in particular, on VaR…”
A New Class of Multivariate Skew Densities, with Application to GARCH Models (2002, background): “It could be for estimating the standard error of the forecast, although Ruiz and Pascual (2002) show that this does not seem to matter much.”
A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models (2005, background): “It could be relevent for estimating the standard error of the forecast, although Ruiz and Pascual (2002) showed that this does not seem to matter much.”