{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,4]],"date-time":"2026-10-04T23:46:25Z","timestamp":1791157585723,"version":"4.1.0"},"reference-count":25,"publisher":"Wiley","issue":"4","license":[{"start":{"date-parts":[[2003,1,17]],"date-time":"2003-01-17T00:00:00Z","timestamp":1042761600000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2003,7]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>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 (<jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#bib8\">1998<\/jats:ext-link>), are shown to be inappropriate in the presence of periodic heteroscedasticity. Instead, we consider a regression\u2010based test, and a modified version of Christoffersen's Markov chain test for independence, and analyse their properties when the financial time series exhibit periodic volatility. These approaches lead to different conclusions when interval forecasts of FTSE100 index futures returns generated by various GARCH(1,1) and periodic GARCH(1,1) models are evaluated. Copyright \u00a9 2003 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.703","type":"journal-article","created":{"date-parts":[[2003,8,11]],"date-time":"2003-08-11T13:45:34Z","timestamp":1060609534000},"page":"445-456","source":"Crossref","is-referenced-by-count":44,"title":["Evaluating interval forecasts of high\u2010frequency financial data"],"prefix":"10.1002","volume":"18","author":[{"given":"Michael P.","family":"Clements","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Nick","family":"Taylor","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2003,1,17]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391527"},{"key":"e_1_2_6_3_1","first-page":"307","article-title":"Prediction in dynamic models with time\u2010dependent conditional variances","volume":"31","author":"Baillie RT","year":"1992","journal-title":"Journal of Econometrics"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1573-4412(05)80018-2"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1392425"},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474939208800229"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391361"},{"key":"e_1_2_6_8_1","first-page":"63","article-title":"Shock treatment","volume":"7","author":"Chew L","year":"1994","journal-title":"Risk"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527341"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465300558597"},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0169-2070(00)00079-0"},{"key":"e_1_2_6_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_6_13_1","unstructured":"EngleRF ManganelliS.1999.CAViaR: Conditional autoregressive Value\u2010at\u2010Risk by regression quantiles. Department of Economics UCSD Discussion Paper 99\u201020."},{"key":"e_1_2_6_14_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/5.2.199"},{"key":"e_1_2_6_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(89)90031-6"},{"key":"e_1_2_6_16_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/4.3.543"},{"key":"e_1_2_6_17_1","doi-asserted-by":"publisher","DOI":"10.1086\/296474"},{"key":"e_1_2_6_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05088.x"},{"key":"e_1_2_6_19_1","unstructured":"LopezJ.1996.Regulatory evaluation of Value\u2010at\u2010Risk models. Federal Reserve Bank of New York Discussion Paper."},{"key":"e_1_2_6_20_1","unstructured":"McNeesSK.1995.Forecast uncertainty: Can it be measured?Federal Reserve Bank of New York Discussion Paper."},{"key":"e_1_2_6_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(93)90052-H"},{"key":"e_1_2_6_22_1","doi-asserted-by":"publisher","DOI":"10.1086\/296513"},{"key":"e_1_2_6_23_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1990.10476225"},{"key":"e_1_2_6_24_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1096-9934(199902)19:1<31::AID-FUT2>3.0.CO;2-H"},{"key":"e_1_2_6_25_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.2.619"},{"key":"e_1_2_6_26_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1985.tb04996.x"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.703","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.703","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,17]],"date-time":"2023-10-17T23:10:08Z","timestamp":1697584208000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.703"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2003,1,17]]},"references-count":25,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2003,7]]}},"alternative-id":["10.1002\/jae.703"],"URL":"https:\/\/doi.org\/10.1002\/jae.703","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2003,1,17]]}}}