Properties of optimal forecasts under asymmetric loss and nonlinearity

DOI10.1016/j.jeconom.2006.07.018zbMath1247.91144MaRDI QIDQ451286

Andrew J. Patton, Allan G. 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

zbMATH Keywords

prediction; loss function; rationality; market efficiency; nonlinear data generating process

Mathematics Subject Classification ID

91B82: Statistical methods; economic indices and measures

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