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Properties of optimal forecasts under asymmetric loss and nonlinearity

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  • Patton, Andrew J.
  • Timmermann, Allan

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  • 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.
  • Handle: RePEc:eee:econom:v:140:y:2007:i:2:p:884-918
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    5. Christoffersen, Peter F & Diebold, Francis X, 1996. "Further Results on Forecasting and Model Selection under Asymmetric Loss," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 561-571, Sept.-Oct.
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