Optimal prediction under asymmetric loss

Econometric Theory

Volumn 13, Issue 6, 1997, Pages 808-817

  Christoffersen, Peter F ^a   Diebold, Francis X ^b  

^a INTERNATIONAL MONETARY FUND   (United States)

^b UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031327745     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466600006277     Document Type: Article

References (15)

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12. Weiss, A.A. (1996) Estimating time series models using the relevant cost function. Journal of Applied Econometrics 11, 539-560.
13. Whittle, P. (1979) Why predict? Prediction as an adjunct to action. In O.D. Anderson (ed.), Forecasting, pp. 177-183. Amsterdam: North-Holland.
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