Properties of optimal forecasts under asymmetric loss and nonlinearity
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Publication:451286
DOI10.1016/J.JECONOM.2006.07.018zbMATH Open1247.91144OpenAlexW2127483845MaRDI QIDQ451286FDOQ451286
Authors: Andrew J. Patton, Allan Timmermann 
Publication date: 23 September 2012
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.07.018
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Cited In (20)
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- Volatility forecast comparison using imperfect volatility proxies
- Expert opinion versus expertise in forecasting
- Comparing Possibly Misspecified Forecasts
- Bayesian estimation using (Linex) for generalized power function distribution
- Selecting an optimal model for forecasting the volumes of railway goods transportation
- Joint forecasts of Dow Jones stocks under general multivariate loss function
- Integrated variance forecasting: model based vs. reduced form
- Max-linear regression models with regularization
- Approaches for multi-step density forecasts with application to aggregated wind power
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- Mincer–Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions
- Generalised rational bias in financial forecasts
- Multi-step forecasts from threshold ARMA models using asymmetric loss functions
- Threshold Structures in Economic and Financial Time Series
- Predicting the signs of forecast errors
- Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches
- An example of an optimal forecast exhibiting decreasing bias with increasing forecast horizon
- State estimation bias induced by optimization under uncertainty and error cost asymmetry is likely reflected in perception
- Estimation and Testing of Forecast Rationality under Flexible Loss
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