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Kernel estimation under linear-exponential loss

  • Anatolyev, Stanislav

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File URL: http://www.sciencedirect.com/science/article/B6V84-4J7B0SR-1/2/0561d780a5cdda40cda48abba620db4e
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 91 (2006)
Issue (Month): 1 (April)
Pages: 39-43

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Handle: RePEc:eee:ecolet:v:91:y:2006:i:1:p:39-43
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Batchelor, Roy & Peel, David A., 1998. "Rationality testing under asymmetric loss," Economics Letters, Elsevier, vol. 61(1), pages 49-54, October.
  2. Peter F. Christoffersen & Francis X. Diebold, 1997. "Optimal prediction under asymmetric loss," Working Papers 97-11, Federal Reserve Bank of Philadelphia.
  3. Tversky, Amos & Kahneman, Daniel, 1991. "Loss Aversion in Riskless Choice: A Reference-Dependent Model," The Quarterly Journal of Economics, MIT Press, vol. 106(4), pages 1039-61, November.
  4. Kenneth D. West & Hali J. Edison & Dongchul Cho, 1992. "A Utility Based Comparison of Some Models of Exchange Rate Volatility," NBER Technical Working Papers 0128, National Bureau of Economic Research, Inc.
  5. Soosung Hwang & John Knight & Stephen E. Satchell, 2001. "Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions," Annals of Economics and Finance, Society for AEF, vol. 2(1), pages 187-213, May.
  6. Stockman, Alan C., 1987. "Economic theory and exchange rate forecasts," International Journal of Forecasting, Elsevier, vol. 3(1), pages 3-15.
  7. Weiss, Andrew A, 1996. "Estimating Time Series Models Using the Relevant Cost Function," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 539-60, Sept.-Oct.
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