Further Results on Forecasting and Model Selection under Asymmetric Loss
We make three related contributions. First, we propose a new technique for solving prediction problems under asymmetric loss using piecewise-linear approximations to the loss function, and we establish existence and uniqueness of the optimal predictor. Second, we provide a detailed application to optimal prediction of a conditionally heteroscedastic process under asymmetric loss, the insights gained from which are broadly applicable. Finally, we incorporate our results into a general framework for recursive prediction-based model selection under the relevant loss function. Copyright 1996 by John Wiley & Sons, Ltd.
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Volume (Year): 11 (1996)
Issue (Month): 5 (Sept.-Oct.)
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- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
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- Tom Doan, "undated". "RATS programs to replicate Hansen's GARCH models with time-varying t-densities," Statistical Software Components RTZ00086, Boston College Department of Economics.
- Zellner, A., 1992. "Statistics, Science and Public Policy," Papers 92-21, California Irvine - School of Social Sciences.
- Newey, Whitney K & Powell, James L, 1987. "Asymmetric Least Squares Estimation and Testing," Econometrica, Econometric Society, vol. 55(4), pages 819-847, July. Full references (including those not matched with items on IDEAS)
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