Multi-step forecasts from threshold ARMA models using asymmetric loss functions
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Bibliographic InfoArticle provided by Springer in its journal Statistical Methods and Applications.
Volume (Year): 16 (2007)
Issue (Month): 3 (November)
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Web page: http://link.springer.de/link/service/journals/10260/index.htm
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- Peter F. Christoffersen & Francis X. Diebold, 1997. "Optimal prediction under asymmetric loss," Working Papers 97-11, Federal Reserve Bank of Philadelphia.
- Peter F. Christoffersen & Francis X. Diebold, 1994. "Optimal Prediction Under Asymmetric Loss," NBER Technical Working Papers 0167, National Bureau of Economic Research, Inc.
- Christoffersen, Peter F & Diebold, Francis X, 1996.
"Further Results on Forecasting and Model Selection under Asymmetric Loss,"
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John Wiley & Sons, Ltd., vol. 11(5), pages 561-71, Sept.-Oct.
- Christoffersen & Diebold, . "Further Results on Forecasting and Model Selection Under Asymmetric Loss," Home Pages _059, University of Pennsylvania.
- Amendola, Alessandra & Niglio, Marcella & Vitale, Cosimo, 2006. "The moments of SETARMA models," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 625-633, March.
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