Evaluating interval forecasts

DOI10.2307/2527341MaRDI QIDQ6863849zbMATH OpenFDO

Authors Peter Christoffersen

Publication date 4 February 2026

Published in International Economic Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2527341

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cited in

(19)

• The nonparametric GARCH model estimation using intraday high-frequency data
• Probabilistic forecast aggregation with statistical depth
• Risk quantification using Rayleigh-tail modeling framework: a theoretical study and numerical simulations
• A simulation and empirical study of the maximum likelihood estimator for stochastic volatility jump-diffusion models
• Is U.S. real output growth non-normal? A tale of time-varying location and scale
• A hybrid nonparametric multivariate density estimator with applications to risk management
• Ruin probability for heavy-tailed and dependent losses under reinsurance strategies
• Expectile regression averaging method for probabilistic forecasting of electricity prices
• Natural disasters as macroeconomic tail risks
• A semi-parametric dynamic conditional correlation framework for risk forecasting
• Specification procedures for multivariate stable-Paretian laws for independent and for conditionally heteroskedastic data
• Testing Quantile Forecast Optimality
• Panel Quantile GARCH Models under Homogeneity
• Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector
• Forecasting VaR and returns distribution using the real-time GARCH models with standardized two-sided Lindley distribution
• Self-normalized quantile empirical saddlepoint approximation
• Robust estimation of Markov-switching GARCH models
• Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models
• ExactVaRTest

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