Evaluating Interval Forecasts
构建了一个评估条件区间预测的框架，解决了现有文献忽略异方差误差的问题，并应用于汇率预测中的风险管理。
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.