Oil price forecasting under asymmetric loss
AbstractBased on the approach developed by Elliott et�al . (2005), we found that the loss function of a sample of oil price forecasters is asymmetric in the forecast error. Our findings indicate that the loss oil price forecasters incurred when their forecasts exceeded the price of oil tended to be larger than the loss they incurred when their forecast fell short of the price of oil. Accounting for the asymmetry of the loss function does not necessarily make forecasts look rational.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 45 (2013)
Issue (Month): 17 (June)
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Other versions of this item:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
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