On economic evaluation of directional forecasts

International Journal of Forecasting

Volumn 27, Issue 4, 2011, Pages 1058-1065

  Blaskowitz, Oliver ^a   Herwartz, Helmut ^b  

^a HUMBOLDT UNIVERSITY   (Germany)

^b UNIVERSITY OF KIEL   (Germany)

Author keywords

Directional forecast value; Directional forecasts; Economic forecast value; Forecast evaluation; Mean absolute forecast error; Mean squared forecast error

Indexed keywords

EID: 80052153167     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2010.07.002     Document Type: Article

References (23)

1. Ahlburg D.A. A commentary on error measures. International Journal of Forecasting 1992, 8:99-100.
2. Anatolyev S., Gerko A. A trading approach to testing for predictability. Journal of Business and Economic Statistics 2005, 23:455-461.
3. Armstrong J.S., Collopy F. Error measures for generalizing about forecasting methods. International Journal of Forecasting 1992, 8:69-80.
4. Blaskowitz O., Herwartz H. Adaptive forecasting of the EURIBOR swap term structure. Journal of Forecasting 2009, 28:575-594.
5. Blaskowitz O., Herwartz H. PCA based ex-ante forecasting of swap term structures. International Journal of Theoretical and Applied Finance 2009, 12:465-489.
6. Christoffersen P.F., Diebold F.X. Optimal prediction under asymmetric loss. Econometric Theory 1997, 13:808-817.
7. Diebold F.X., Mariano R. Comparing predictive accuracy. Journal of Business and Economic Statistics 1995, 13:253-263.
8. Elliot, G., & Lieli, R. P. (2009). Predicting binary outcomes. Downloaded from: http://www.eco.utexas.edu/~rpl227/fbin.pdf.
9. Elliot G., Timmermann A. Economic forecasting. Journal of Economic Literature 2008, 46:3-56.
10. Gençay R. Optimization of technical trading strategies and the profitability in security markets. Economics Letters 1998, 59:249-254.
11. Granger C.W.J., Pesaran M.H. A decision-theoretic approach to forecast evaluation. Statistics and finance: an interface 2000, Imperial College Press, London. W.S. Chan, W.K. Li, H. Tong (Eds.).
12. Granger C.W.J., Pesaran M.H. Economic and statistical measures of forecast accuracy. Journal of Forecasting 2000, 19:537-560.
13. Henriksson R.D., Merton R.C. On market timing and investment performance II: statistical procedures for evaluating forecasting skills. Journal of Business 1981, 54:513-533.
14. Hyndman R.J., Koehler A.B. Another look at measures of forecast accuracy. International Journal of Forecasting 2006, 22:679-688.
15. Makridakis S. Accuracy measures: theoretical and practical concerns. International Journal of Forecasting 1993, 9:527-529.
16. Merton R.C. On market timing and investment performance I: an equilibrium theory of value for market forecasts. Journal of Business 1981, 54:363-406.
17. Miron P., Swannell P. Pricing and hedging swaps 1991, Euromoney Publications PLC, London.
18. Öller L.E., Barot B. The accuracy of European growth and inflation forecasts. International Journal of Forecasting 2000, 16:293-315.
19. Pesaran M.H., Skouras S. Decision-based methods for forecast evaluation. A companion to economic forecasting 2002, Blackwell Publishing, Oxford. M.P. Clements, D.F. Hendry (Eds.).
20. Pesaran M.H., Timmermann A.G. A simple nonparametric test of predictive performance. Journal of Business and Economic Statistics 1992, 10:461-465.
21. Skouras S. Financial returns and efficiency as seen by an artificial technical analyst. Journal of Economic Dynamics and Control 2001, 25:213-244.
22. Skouras, S. (2001b). Sign of a mean regression: characterisation, estimation and applications. Available from: or doi:10.2139/ssrn.291922.
23. West K.D., Edison H.J., Cho D. A utility based comparison of some models of exchange rate volatility. Journal of International Economics 1993, 35:23-45.