Properties of optimal forecasts under asymmetric loss and nonlinearity
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Cites work
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- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 3238721 (Why is no real title available?)
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A consistent test for nonlinear out of sample predictive accuracy.
- Bayesian Estimation and Prediction Using Asymmetric Loss Functions
- Bayesian modeling of economies and data requirements
- Calculating posterior distributions and modal estimates in Markov mixture models
- Decisionmetrics: a decision-based approach to econometric modelling
- Estimation and Testing of Forecast Rationality under Flexible Loss
- Estimation with quadratic loss.
- Generalised residuals
- Generalized autoregressive conditional heteroscedasticity
- Optimal forecast combinations under general loss functions and forecast error distributions
- Prediction with a Generalized Cost of Error Function
- Rationality testing under asymmetric loss
- Remarks on a Multivariate Transformation
- Residual analysis in the grouped and censored normal linear model
- Temporal Aggregation of Garch Processes
- Testing Forecast Optimality Under Unknown Loss
- The exact multi-period mean-square forecast error for the first-order autoregressive model
- The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept
- The solution of dynamic linear rational expectations models
Cited in
(25)- Multivariate test for forecast rationality under asymmetric loss functions: recent evidence from MMS survey of inflation-output forecasts
- Testing Forecast Optimality Under Unknown Loss
- Volatility forecast comparison using imperfect volatility proxies
- Expert opinion versus expertise in forecasting
- Comparing Possibly Misspecified Forecasts
- Frequentist model averaging under a linear exponential loss
- Threshold structures in economic and financial time series
- Bayesian estimation using (Linex) for generalized power function distribution
- Selecting an optimal model for forecasting the volumes of railway goods transportation
- Optimal forecast combinations under general loss functions and forecast error distributions
- Integrated variance forecasting: model based vs. reduced form
- Joint forecasts of Dow Jones stocks under general multivariate loss function
- Markov switching predictors under asymmetric loss functions
- Approaches for multi-step density forecasts with application to aggregated wind power
- Max-linear regression models with regularization
- scientific article; zbMATH DE number 7415123 (Why is no real title available?)
- Generalised rational bias in financial forecasts
- Mincer–Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions
- Multi-step forecasts from threshold ARMA models using asymmetric loss functions
- Predicting the signs of forecast errors
- Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches
- State estimation bias induced by optimization under uncertainty and error cost asymmetry is likely reflected in perception
- An example of an optimal forecast exhibiting decreasing bias with increasing forecast horizon
- Bregman model averaging for forecast combination
- Estimation and Testing of Forecast Rationality under Flexible Loss
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