| Author: | Christoffersen, P. |
| Title: | Evaluating interval forecasts |
| Journal: | International Economic Review
1998 : NOV, VOL. 39:4, p. 841-862 |
| Index terms: | ECONOMICS FORECASTING EVALUATION |
| Language: | eng |
| Abstract: | A complete theory for evaluating interval forecasts has not been worked out to date. Most of the literature implicitly assumes homoscedastic errors even when this is clearly violated, and proceed by merely testing for correct unconditional coverage. Consequently, the author sets out to build a consistent framework for conditional interval forecast evaluation, which is crucial when higher-order moment dynamics are presented. The new methodology is demonstrated in an application to the exchange rate forecasting procedures advocated in risk management. |
SCIMA