Evaluating interval forecasts

被引:1432
作者
Christoffersen, PF [1 ]
机构
[1] McGill Univ, Montreal, PQ H3A 2T5, Canada
关键词
D O I
10.2307/2527341
中图分类号
F [经济];
学科分类号
02 ;
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.
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页码:841 / 862
页数:22
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