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Analysis of binarized high frequency financial data

✍ Scribed by N. Sazuka


Book ID
111621811
Publisher
Springer
Year
2006
Tongue
English
Weight
157 KB
Volume
50
Category
Article
ISSN
1434-6036

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## Abstract 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