How should parameter estimation be tailored to the objective?
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Cites work
- A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
- Bayesian Estimation and Prediction Using Asymmetric Loss Functions
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
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- Multistep prediction in autoregressive processes
- Prediction with a Generalized Cost of Error Function
- Robust Statistics
- VAR forecasting under misspecification
Cited in
(6)- Model averaging for asymptotically optimal combined forecasts
- Predictive ability tests with possibly overlapping models
- Better the devil you know: improved forecasts from imperfect models
- A multivariate realized GARCH model
- Probability distributions for realized covariance measures
- Bregman model averaging for forecast combination
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