Beyond Optimal Forecasting
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References listed on IDEAS
- Ashley, Richard, 1990. "Shrinkage Estimation with General Loss Functions: An Application of Stochastic Dominance Theory," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(2), pages 301-313, May.
- Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March.
- Chetan, Dave, 2004. "Are Investment Expectations Rational?," Analytical Studies Branch Research Paper Series 2004208e, Statistics Canada, Analytical Studies Branch.
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- Ferreira, Miguel A. & Santa-Clara, Pedro, 2011.
"Forecasting stock market returns: The sum of the parts is more than the whole,"
Journal of Financial Economics,
Elsevier, vol. 100(3), pages 514-537, June.
- Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc.
More about this item
Keywordsforecasting; forecast loss functions; stochastic dominance.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-11-18 (All new papers)
- NEP-ECM-2006-11-18 (Econometrics)
- NEP-ETS-2006-11-18 (Econometric Time Series)
- NEP-FOR-2006-11-18 (Forecasting)
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