Decision-based forecast evaluation of UK interest rate predictability

DOI10.1002/FOR.2369MaRDI QIDQ4687585zbMATH OpenOpenAlexFDO

Authors Kavita Sirichand, Stephen G. Hall

Publication date 12 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://dspace.lboro.ac.uk/2134/19754

zbMATH Keywords

density forecastingforecast evaluationoptimal portfolio choiceparameter uncertaintyreturn predictability

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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