Résumé
We present a multi-stage conditional quantile predictor for time series of Markovian structure. It is proved that at any quantile level, p ∈ (0, 1), the asymptotic mean squared error (MSE) of the new predictor is smaller than the single-stage conditional quantile predictor. A simulation study confirms this result in a small sample situation. Because the improvement by the proposed predictor increases for quantiles at the tails of the conditional distribution function, the multi-stage predictor can be used to compute better predictive intervals with smaller variability. Applying this predictor to the changes in the U.S. short-term interest rate, rather smooth out-of-sample predictive intervals are obtained.