Beyond Optimal Forecasting
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Bibliographic InfoPaper provided by Virginia Polytechnic Institute and State University, Department of Economics in its series Working Papers with number e06-10.
Length: 33 pages
Date of creation: 2006
Date of revision:
forecasting; forecast loss functions; stochastic dominance.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-11-18 (All new papers)
- NEP-ECM-2006-11-18 (Econometrics)
- NEP-ETS-2006-11-18 (Econometric Time Series)
- NEP-FOR-2006-11-18 (Forecasting)
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.:
- Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, American Economic Association, vol. 59(1), pages 25-34, March.
- Chetan, Dave, 2004. "Are Investment Expectations Rational?," Analytical Studies Branch Research Paper Series, Statistics Canada, Analytical Studies Branch 2004208e, Statistics Canada, Analytical Studies Branch.
- Ashley, Richard, 1990. "Shrinkage Estimation with General Loss Functions: An Application of Stochastic Dominance Theory," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(2), pages 301-13, May.
- Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc.
- Ferreira, Miguel A. & Santa-Clara, Pedro, 2011. "Forecasting stock market returns: The sum of the parts is more than the whole," Journal of Financial Economics, Elsevier, Elsevier, vol. 100(3), pages 514-537, June.
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