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Article provided by Springer in its journal Statistical Methods and Applications.

Volume (Year): 16 (2007)
Issue (Month): 3 (November)
Pages: 395-410
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Handle: RePEc:spr:stmapp:v:16:y:2007:i:3:p:395-410

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Related research

Keywords: Nonlinear prediction; General loss functions; SETARMA; Linex;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

1. Christoffersen, Peter F & Diebold, Francis X, 1996. "Further Results on Forecasting and Model Selection under Asymmetric Loss," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 561-71, Sept.-Oct. [Downloadable!] (restricted)
   Other versions:
   • Christoffersen & Diebold, . "Further Results on Forecasting and Model Selection Under Asymmetric Loss," Home Pages _059, University of Pennsylvania. [Downloadable!]
2. Graham Elliott, 2005. "Estimation and Testing of Forecast Rationality under Flexible Loss," Review of Economic Studies, Blackwell Publishing, vol. 72(4), pages 1107-1125, October. [Downloadable!] (restricted)
3. Christoffersen, Peter F. & Diebold, Francis X., 1997. "Optimal Prediction Under Asymmetric Loss," Econometric Theory, Cambridge University Press, vol. 13(06), pages 808-817, December. [Downloadable!]
   Other versions:
   • Christoffersen & Diebold, . "Optimal Prediction Under Asymmetric Loss," Home Pages 167, 1996., University of Pennsylvania. [Downloadable!]
   • Peter F. Christoffersen & Francis X. Diebold, 1997. "Optimal prediction under asymmetric loss," Working Papers 97-11, Federal Reserve Bank of Philadelphia. [Downloadable!]
   • Peter F. Christoffersen & Francis X. Diebold, . "Optimal Prediction Under Asymmetric Loss," CARESS Working Papres 97-20, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences. [Downloadable!]
   • Peter F. Christoffersen & Francis X. Diebold, 1994. "Optimal Prediction Under Asymmetric Loss," NBER Technical Working Papers 0167, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
4. Amendola, Alessandra & Niglio, Marcella & Vitale, Cosimo, 2006. "The moments of SETARMA models," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 625-633, March. [Downloadable!] (restricted)

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This page was last updated on 2009-12-30.