Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions
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- Christodoulakis, George A., 2005. "Financial forecasts in the presence of asymmetric loss aversion, skewness and excess kurtosis," Finance Research Letters, Elsevier, vol. 2(4), pages 227-233, December.
- Anatolyev, Stanislav, 2009. "Dynamic modeling under linear-exponential loss," Economic Modelling, Elsevier, vol. 26(1), pages 82-89, January.
- Soosung Hwang & Steve Satchell, 2005.
"GARCH model with cross-sectional volatility: GARCHX models,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 15(3), pages 203-216.
- Steve Satchell & Soosung Hwang, 2001. "GARCH Model with Cross-sectional Volatility; GARCHX Models," Working Papers wp01-16, Warwick Business School, Finance Group.
- Marcella Niglio, 2007. "Multi-step forecasts from threshold ARMA models using asymmetric loss functions," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 16(3), pages 395-410, November.
- Anatolyev, Stanislav, 2006. "Kernel estimation under linear-exponential loss," Economics Letters, Elsevier, vol. 91(1), pages 39-43, April.
More about this item
KeywordsLINEX Loss Function; Forecasting; Volatility;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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