Forecasting with Interval and Histogram Data: Some Financial Applications

In economics we customarily deal with classical data sets. When we collect information on a set of variables of interest, either in a cross-sectional or/and

of Empirical

time series framework, our sample information is a collection of data points {yi }, i = 1. . . n or {yt}, t = 1. . . T where yi or yt ∈ R takes a single value in R. In many instances, the single value is the result of an aggregation procedure, spatial or temporal, over information collected at a very disaggregated level. Some pertinent examples follow.