Risk Neutral Forecasting
Author
Abstract
Suggested Citation
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Other versions of this item:
- Spyros Skouras, 2000. "Risk Neutral Forecasting," Computing in Economics and Finance 2000 117, Society for Computational Economics.
- Skouras, S., 1998. "Risk Neutral Forecasting," Economics Working Papers eco98/40, European University Institute.
Citations
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Cited by:
- Fong, Wai Mun & Yong, Lawrence H. M., 2005. "Chasing trends: recursive moving average trading rules and internet stocks," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 43-76, January.
- Dewachter, Hans & Lyrio, Marco, 2006.
"The cost of technical trading rules in the Forex market: A utility-based evaluation,"
Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1072-1089, November.
- Dewachter, H.D.R. & Lyrio, M., 2003. "The Cost of Technical Trading Rules in the Forex Market: A Utility-based Evaluation," ERIM Report Series Research in Management ERS-2003-052-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Skouras, Spyros, 2003. "An algorithm for computing estimators that optimize step functions," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 349-361, March.
More about this item
Keywords
financial decision-making; empirical risk minimisation;JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2001-05-02 (Econometrics)
- NEP-FIN-2001-05-02 (Finance)
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