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Citations for "Further Results on Forecasting and Model Selection Under Asymmetric Loss"

by Christoffersen & Diebold

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  1. Francis X. Diebold & Lutz Kilian, 1998. "Measuring Predictability: Theory and Macroeconomic Applications," Working Papers 98-16, New York University, Leonard N. Stern School of Business, Department of Economics.
  2. Corradi, Valentina & Swanson, Norman R. & Olivetti, Claudia, 2001. "Predictive ability with cointegrated variables," Journal of Econometrics, Elsevier, vol. 104(2), pages 315-358, September.
  3. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, . "Evaluating Density Forecasts," CARESS Working Papres 97-18, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
  4. Carlos Capistrán & Allan Timmermann, 2006. "Disagreement and Biases in Inflation Expectations," Computing in Economics and Finance 2006 3, Society for Computational Economics.
  5. Sean D. Campbell & Francis X. Diebold, 2005. "Weather Forecasting for Weather Derivatives," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 6-16, March.
  6. E. Mamatzakis, 2014. "Revealing asymmetries in the loss function of WTI oil futures market," Empirical Economics, Springer, vol. 47(2), pages 411-426, September.
  7. Demosthenes N Tambakis, 2000. "On The Informational Content Of Asset Prices," Computing in Economics and Finance 2000 101, Society for Computational Economics.
  8. Diebold, F.X. & Kilian, L. & Nerlove, Marc, 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics.
  9. Gneiting, Tilmann, 2011. "Making and Evaluating Point Forecasts," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 746-762.
  10. Wolfgang Polasek, 2013. "Forecast Evaluations for Multiple Time Series: A Generalized Theil Decomposition," Working Paper Series 23_13, The Rimini Centre for Economic Analysis.
  11. M A Clatworthy & D Peel & P F Pope, 2006. "Are analysts’ loss functions asymmetric?," Working Papers 574591, Lancaster University Management School, Economics Department.
  12. Rosario Dell'Aquila & Elvezio Ronchetti, 2004. "Stock and Bond Return Predictability : The Discrimination Power of Model Selection Criteria," Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva 2004.05, Institut d'Economie et Econométrie, Université de Genève.
  13. Marcella Niglio, 2007. "Multi-step forecasts from threshold ARMA models using asymmetric loss functions," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 16(3), pages 395-410, November.
  14. Christoffersen, Peter F. & Diebold, Francis X., 2003. "Financial asset returns, direction-of-change forecasting, and volatility dynamics," CFS Working Paper Series 2004/08, Center for Financial Studies (CFS).
  15. Lorenzo Trapani & Giovanni Urga, 2006. "Optimal forecasting with heterogeneous panels: a Monte Carlo study," Working Papers 0616, Department of Economics and Technology Management, University of Bergamo.
  16. Christoffersen, Peter F & Diebold, Francis X, 1998. "Cointegration and Long-Horizon Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 450-58, October.
  17. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO.
  18. Valentina Corradi & Norman Swanson, 2004. "Bootstrap Procedures for Recursive Estimation Schemes With Applications to Forecast Model Selection," Departmental Working Papers 200418, Rutgers University, Department of Economics.
  19. Valentina Corradi & Norman Swanson, 2003. "The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation," Departmental Working Papers 200313, Rutgers University, Department of Economics.
  20. Ulu, Yasemin, 2007. "Optimal prediction under LINLIN loss: Empirical evidence," International Journal of Forecasting, Elsevier, vol. 23(4), pages 707-715.
  21. Granger, C.W.J. & Pesaran, M. H., 1999. "Economic and Statistical Measures of Forecast Accuracy," Cambridge Working Papers in Economics 9910, Faculty of Economics, University of Cambridge.
  22. Matthew L Higgins & Sagarika Mishra, . "State Dependent Asymmetric Loss and the Consensus Forecast of Real U.S. GDP Growth," Financial Econometics Series 2012_10, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  23. Alp, Tansel & Demetrescu, Matei, 2010. "Joint forecasts of Dow Jones stocks under general multivariate loss function," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2360-2371, November.
  24. María Clara Aristizábal Restrepo, . "Evaluación asimétrica de una red neuronal artificial:Aplicación al caso de la inflación en Colombia," Borradores de Economia 377, Banco de la Republica de Colombia.
  25. Brownlees, Christian T. & Gallo, Giampiero M., 2011. "Shrinkage estimation of semiparametric multiplicative error models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 365-378.
  26. Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers w0136, Center for Economic and Financial Research (CEFIR).
  27. Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Mishra, Santosh, 2004. "Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood," International Journal of Forecasting, Elsevier, vol. 20(4), pages 629-645.
  28. Peter F. Christoffersen & Francis X. Diebold, 1997. "Optimal prediction under asymmetric loss," Working Papers 97-11, Federal Reserve Bank of Philadelphia.
  29. Anatolyev, Stanislav, 2009. "Dynamic modeling under linear-exponential loss," Economic Modelling, Elsevier, vol. 26(1), pages 82-89, January.
  30. Allan Timmermann & Andrew Patton, 2004. "Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity," Working Papers wp04-05, Warwick Business School, Finance Group.
  31. M A Clatworthy & D Peel & P F Pope, 2005. "Are analysts' loss functions asymmetric?," Working Papers 574124, Lancaster University Management School, Economics Department.
  32. Schorfheide, Frank, 2005. "VAR forecasting under misspecification," Journal of Econometrics, Elsevier, vol. 128(1), pages 99-136, September.
  33. Gneiting, Tilmann, 2011. "Quantiles as optimal point forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 197-207.
  34. repec:pen:papers:14-011 is not listed on IDEAS
  35. Demetrescu, Matei, 2006. "An extension of the Gauss-Newton algorithm for estimation under asymmetric loss," Computational Statistics & Data Analysis, Elsevier, vol. 50(2), pages 379-401, January.
  36. Franses, Ph.H.B.F. & Legerstee, R. & Paap, R., 2011. "Estimating Loss Functions of Experts," Econometric Institute Research Papers EI2011-42, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  37. Gneiting, Tilmann, 2011. "Quantiles as optimal point forecasts," International Journal of Forecasting, Elsevier, vol. 27(2), pages 197-207, April.
  38. Pesaran, M. H., 1999. "On Aggregation of Linear Dynamic Models," Cambridge Working Papers in Economics 9919, Faculty of Economics, University of Cambridge.
  39. Spyros Skouras, 1998. "Financial Returns and Efficiency as seen by an Artificial Technical Analyst," Finance 9808001, EconWPA, revised 24 Aug 1998.
  40. Hashem Pesaran, M., 2003. "Aggregation of linear dynamic models: an application to life-cycle consumption models under habit formation," Economic Modelling, Elsevier, vol. 20(2), pages 383-415, March.
  41. Valentina Corradi & Norman Swanson, 2013. "A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance," Departmental Working Papers 201309, Rutgers University, Department of Economics.
  42. Dell'Aquila, Rosario & Ronchetti, Elvezio, 2006. "Stock and bond return predictability: the discrimination power of model selection criteria," Computational Statistics & Data Analysis, Elsevier, vol. 50(6), pages 1478-1495, March.
  43. Ulu, Yasemin, 2013. "Multivariate test for forecast rationality under asymmetric loss functions: Recent evidence from MMS survey of inflation–output forecasts," Economics Letters, Elsevier, vol. 119(2), pages 168-171.
  44. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
  45. Clements, Michael P. & Franses, Philip Hans & Swanson, Norman R., 2004. "Forecasting economic and financial time-series with non-linear models," International Journal of Forecasting, Elsevier, vol. 20(2), pages 169-183.
  46. Goodwin, Paul, 2005. "Providing support for decisions based on time series information under conditions of asymmetric loss," European Journal of Operational Research, Elsevier, vol. 163(2), pages 388-402, June.
  47. Corradi, V. & Swanson, N.R., 2000. "A Consistent Test for Nonlinear Out of Sample Predictive Accuracy," Discussion Papers 0012, Exeter University, Department of Economics.
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