Evaluating interval forecasts

• 成果类型: Article
• 署名作者: Christoffersen, PF
• 署名单位: McGill University
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.2307/2527341
• 发表日期: 1998
• 页码: 841-862
• 关键词: estimators

摘要

A complete theory for evaluating interval forecasts has not been worked out to date. Most of the literature implicitly assumes homoskedastic errors even when this is clearly violated, and proceed by merely testing for correct unconditional coverage. Consequently, I set out to build a consistent framework for conditional interval forecast evaluation, which is crucial when higher-order moment dynamics are present. The new methodology is demonstrated in an application to the exchange rate forecasting procedures advocated in risk management.