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Properties of optimal forecasts under asymmetric loss and nonlinearity

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  • Patton, Andrew J.
  • Timmermann, Allan

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 140 (2007)
Issue (Month): 2 (October)
Pages: 884-918

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Handle: RePEc:eee:econom:v:140:y:2007:i:2:p:884-918

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Peter F. Christoffersen & Francis X. Diebold, 1994. "Optimal Prediction Under Asymmetric Loss," NBER Technical Working Papers 0167, National Bureau of Economic Research, Inc.
  2. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  3. Magnus, J.R. & Pesaran, B., 1991. "The bias of forecasts from a first-order autoregression," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153230, Tilburg University.
  4. Peter Christoffersen & Kris Jacobs, 2003. "The Importance of the Loss Function in Option Valuation," CIRANO Working Papers 2003s-52, CIRANO.
  5. Corradi, Valentina & Swanson, Norman R., 2002. "A consistent test for nonlinear out of sample predictive accuracy," Journal of Econometrics, Elsevier, vol. 110(2), pages 353-381, October.
  6. Enrique Sentana, 2005. "Least Squares Predictions and Mean-Variance Analysis," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(1), pages 56-78.
  7. Chib, Siddhartha, 1996. "Calculating posterior distributions and modal estimates in Markov mixture models," Journal of Econometrics, Elsevier, vol. 75(1), pages 79-97, November.
  8. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  9. Christoffersen & Diebold, . "Further Results on Forecasting and Model Selection Under Asymmetric Loss," Home Pages _059, University of Pennsylvania.
  10. Drost, F.C. & Nijman, T.E., 1992. "Temporal Aggregation of Garch Processes," Papers 9240, Tilburg - Center for Economic Research.
  11. Spyros Skouras, 2001. "Decisionmetrics: A Decision-Based Approach to Econometric Modeling," Working Papers 01-11-064, Santa Fe Institute.
  12. Zellner, Arnold & Chen, Bin, 2001. "Bayesian Modeling Of Economies And Data Requirements," Macroeconomic Dynamics, Cambridge University Press, vol. 5(05), pages 673-700, November.
  13. Zellner, A. & Hong, C., 1988. "Forecasting International Growth Rates Using Bayesian Shrinkage And Other Procedures," Papers m8802, Southern California - Department of Economics.
  14. Magnus, J.R. & Pesaran, B., 1989. "The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153226, Tilburg University.
  15. Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, December.
  16. Elliott, Graham & Timmermann, Allan, 2002. "Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions," University of California at San Diego, Economics Working Paper Series qt15r9t2q2, Department of Economics, UC San Diego.
  17. A. Robert Nobay & David A. Peel, 2003. "Optimal Discretionary Monetary Policy in a Model of Asymmetric Central Bank Preferences," Economic Journal, Royal Economic Society, vol. 113(489), pages 657-665, 07.
  18. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Generalised residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 5-32.
  19. Graham Elliott & Allan Timmermann & Ivana Komunjer, 2005. "Estimation and Testing of Forecast Rationality under Flexible Loss," Review of Economic Studies, Oxford University Press, vol. 72(4), pages 1107-1125.
  20. Chesher, Andrew & Irish, Margaret, 1987. "Residual analysis in the grouped and censored normal linear model," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 33-61.
  21. Batchelor, Roy & Peel, David A., 1998. "Rationality testing under asymmetric loss," Economics Letters, Elsevier, vol. 61(1), pages 49-54, October.
  22. Magnus, Jan R. & Pesaran, Bahram, 1989. "The exact multi-period mean-square forecast error for the first-order autoregressive model with an intercept," Journal of Econometrics, Elsevier, vol. 42(2), pages 157-179, October.
  23. Magnus, Jan R. & Pesaran, Bahram, 1991. "The Bias of Forecasts from a First-Order Autoregression," Econometric Theory, Cambridge University Press, vol. 7(02), pages 222-235, June.
  24. Hoque, Asraul & Magnus, Jan R. & Pesaran, Bahram, 1988. "The exact multi-period mean-square forecast error for the first-order autoregressive model," Journal of Econometrics, Elsevier, vol. 39(3), pages 327-346, November.
  25. Clive W.J. Granger, 1999. "Outline of forecast theory using generalized cost functions," Spanish Economic Review, Springer, vol. 1(2), pages 161-173.
  26. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
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