Clements, Michael P.; Taylor, Nick - In: Journal of Applied Econometrics 18 (2003) 4, pp. 445-456
A number of methods of evaluating the validity of interval forecasts of financial data are analysed, and illustrated using intraday FTSE100 index futures returns. Some existing interval forecast evaluation techniques, such as the Markov chain approach of Christoffersen (1998), are shown to be...