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...

When President Roosevelt took the oath of office in 1933, he was facing a devastated nation. Four years into the Great Depression, 13 million American workers were jobless. What people wanted were jobs, not handouts, and in 1935, after a variety of temporary relief measures, a permanent...