메뉴 건너뛰기




Volumn 11, Issue 5, 1996, Pages 561-571

Further results on forecasting and model selection under asymmetric loss

Author keywords

[No Author keywords available]

Indexed keywords


EID: 21444446995     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/(sici)1099-1255(199609)11:5<561::aid-jae406>3.0.co;2-s     Document Type: Article
Times cited : (109)

References (16)
  • 1
    • 0002643479 scopus 로고
    • Prediction in dynamic models with time-dependent conditional variances
    • Baillie, R. T. and T. Bollerslev (1992), 'Prediction in dynamic models with time-dependent conditional variances', Journal of Econometrics, 52, 91-113,4.
    • (1992) Journal of Econometrics , vol.52 , pp. 91-113
    • Baillie, R.T.1    Bollerslev, T.2
  • 2
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroscedasticity
    • Bollerslev, T. (1986), 'Generalized autoregressive conditional heteroscedasticity', Journal of Econometrics, 31, 307-327.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 3
    • 0005618955 scopus 로고    scopus 로고
    • Optimal prediction under asymmetric loss
    • manuscript, Department of Economics, University of Pennsylvania. 1994
    • Christoffersen, P. F. and F. X. Diebold (1996), 'Optimal prediction under asymmetric loss', manuscript, Department of Economics, University of Pennsylvania. (Revision of NBER Technical Working Paper No. 167, 1994.)
    • (1996) Revision of NBER Technical Working Paper No. 167 , vol.167
    • Christoffersen, P.F.1    Diebold, F.X.2
  • 5
    • 0348242861 scopus 로고
    • Prediction with a generalized cost of error function
    • Granger, C. W. J. (1969), 'Prediction with a generalized cost of error function', Operational Research Quarterly, 20, 199-207.
    • (1969) Operational Research Quarterly , vol.20 , pp. 199-207
    • Granger, C.W.J.1
  • 7
    • 0001619086 scopus 로고
    • Autoregressive conditional density estimation
    • Hansen, B. E. (1994), 'Autoregressive conditional density estimation', International Economic Review, 35, 705-730.
    • (1994) International Economic Review , vol.35 , pp. 705-730
    • Hansen, B.E.1
  • 8
    • 0007665702 scopus 로고
    • The loss function has been mislaid: The rhetoric of significance tests
    • McCloskey, D. N. (1985), 'The loss function has been mislaid: the rhetoric of significance tests', American Economic Review, 15, 201-205.
    • (1985) American Economic Review , vol.15 , pp. 201-205
    • McCloskey, D.N.1
  • 9
    • 0000940392 scopus 로고
    • Asymmetric least squares estimation and testing
    • Newey, W. K. and J. L. Powell (1987), 'Asymmetric least squares estimation and testing', Econometrica, 55, 819-847.
    • (1987) Econometrica , vol.55 , pp. 819-847
    • Newey, W.K.1    Powell, J.L.2
  • 11
    • 0000646447 scopus 로고
    • Likelihood ratio tests for model selection and non-nested hypotheses
    • Vuong. Q. (1989), 'Likelihood ratio tests for model selection and non-nested hypotheses', Econometrica, 57, 307-333.
    • (1989) Econometrica , vol.57 , pp. 307-333
    • Vuong, Q.1
  • 12
    • 21444433626 scopus 로고    scopus 로고
    • Estimating time series models using the relevant cost function
    • forthcoming
    • Weiss, A. A. (1996), 'Estimating time series models using the relevant cost function,' Journal of Applied Econometrics, forthcoming.
    • (1996) Journal of Applied Econometrics
    • Weiss, A.A.1
  • 13
    • 0001206741 scopus 로고
    • Estimating forecasting models using the relevant forecast evaluation criterion
    • Weiss, A. A. and A. P. Andersen (1984), 'Estimating forecasting models using the relevant forecast evaluation criterion', Journal of the Royal Statistical Society A, 137, 484-487.
    • (1984) Journal of the Royal Statistical Society A , vol.137 , pp. 484-487
    • Weiss, A.A.1    Andersen, A.P.2
  • 14
    • 0030353235 scopus 로고    scopus 로고
    • Asymptotic inference about predictive ability
    • forthcoming
    • West, K. D. (1996), 'Asymptotic inference about predictive ability', Econometrica, forthcoming.
    • (1996) Econometrica
    • West, K.D.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.