Evaluating Interval Forecasts
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, the author sets 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. Copyright 1998 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Volume (Year): 39 (1998)
Issue (Month): 4 (November)
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