Evaluating interval forecasts
Evaluating interval forecasts
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DOI：
10.2307/2527341
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发表时间：
1998-11-01
影响因子：
1.5
通讯作者：
Christoffersen, PF
中科院分区：
文献类型：
--
作者：
Christoffersen, PF
到目前为止，还没有一个完整的理论来评价区间预测。大多数文献隐含地假设同性恋错误，即使这是明显违反，并继续通过测试正确的无条件覆盖。因此，我开始建立一个一致的框架，条件区间预测评估，这是至关重要的高阶矩动态时。新的方法是证明在风险管理中倡导的汇率预测程序的应用。
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.