Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity

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Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity

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Allan Timmermann
Andrew Patton

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Andrew Patton

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Paper provided by Warwick Business School, Financial Econometrics Research Centre in its series Working Papers with number wp04-05.

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Date of creation: 2004
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Handle: RePEc:wbs:wpaper:wp04-05

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Article
- Patton, Andrew J. & Timmermann, Allan, 2007. "Properties of optimal forecasts under asymmetric loss and nonlinearity," Journal of Econometrics, Elsevier, vol. 140(2), pages 884-918, October. [Downloadable!] (restricted)

Cited by:
(explanations, 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.)

Carlos CapistrÃ¡n-Carmona, 2005. "Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?," Computing in Economics and Finance 2005 127, Society for Computational Economics. [Downloadable!]
Other versions:
- Carlos Carmona, 2005. "Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?," University of California at San Diego, Economics Working Paper Series 2005-05, Department of Economics, UC San Diego. [Downloadable!]
- Carlos Capistrán, 2006. "Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?," Working Papers 2006-14, Banco de México. [Downloadable!]
- Capistrán, Carlos, 2008. "Bias in Federal Reserve inflation forecasts: Is the Federal Reserve irrational or just cautious?," Journal of Monetary Economics, Elsevier, vol. 55(8), pages 1415-1427, November. [Downloadable!] (restricted)
Carlos Capistrán & Allan Timmermann, 2008. "Disagreement and Biases in Inflation Expectations," CREATES Research Papers 2008-56, School of Economics and Management, University of Aarhus. [Downloadable!]
Other versions:
- Carlos Capistrán & Allan Timmermann, 2006. "Disagreement and Biases in Inflation Expectations," Working Papers 2006-07, Banco de México. [Downloadable!]
- Carlos CapistrÃ¡n & Allan Timmermann, 2006. "Disagreement and Biases in Inflation Expectations," Computing in Economics and Finance 2006 3, Society for Computational Economics.
- Carlos Capistrán & Allan Timmermann, 2009. "Disagreement and Biases in Inflation Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(2-3), pages 365-396, 03. [Downloadable!] (restricted)
Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2009. "Does the FOMC Have Expertise, and Can It Forecast?," CIRJE F-Series CIRJE-F-648, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
Other versions:
- Franses, Ph.H.B.F. & McAleer, M. & Legerstee, R., 2008. "Does the ROMC have expertise, and can it forecast?," Econometric Institute Report EI 2008-33 Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2009. "Non-linear predictability in stock and bond returns: when and where is it exploitable?," Working Papers 2008-010, Federal Reserve Bank of St. Louis. [Downloadable!]
Other versions:
- Guidolin, Massimo & Hyde, Stuart & McMillan, David & Ono, Sadayuki, 2009. "Non-linear predictability in stock and bond returns: When and where is it exploitable?," International Journal of Forecasting, Elsevier, vol. 25(2), pages 373-399. [Downloadable!] (restricted)
Andrew Patton, 2006. "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series 175, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Andrew J. Patton & Allan Timmermann, 2005. "Testable Implications of Forecast Optimality," STICERD - Econometrics Paper Series /2005/485, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2009. "How Accurate are Government Forecasts of Economic Fundamentals? The Case of Taiwan," CIRJE F-Series CIRJE-F-637, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
Stanislav Anatolyev, 2006. "Dynamic modeling under linear-exponential loss," Working Papers w0092, Center for Economic and Financial Research (CEFIR). [Downloadable!]
Other versions:
- Anatolyev, Stanislav, 2009. "Dynamic modeling under linear-exponential loss," Economic Modelling, Elsevier, vol. 26(1), pages 82-89, January. [Downloadable!] (restricted)

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