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Optimal Prediction Under Asymmetric Loss / Peter F. Christoffersen, Francis X. Diebold.
- Format:
- Book
- Author/Creator:
- Christoffersen, Peter F.
- Series:
- Technical Working Paper Series (National Bureau of Economic Research) no. t0167.
- NBER technical working paper series no. t0167
- Language:
- English
- Subjects (All):
- Prediction theory.
- Credit--Mathematical models.
- Credit.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1994.
- Cambridge, Massachusetts : National Bureau of Economic Research, 1994.
- Summary:
- Prediction problems involving asymmetric loss functions arise routinely in many fields, yet the theory of optimal prediction under asymmetric loss is not well developed. We study the optimal prediction problem under general loss structures and characterize the optimal predictor. We compute the optimal predictor analytically in two leading cases. Analytic solutions for the optimal predictor are not available in more complicated cases, so we develop numerical procedures for computing it. We illustrate the results by forecasting the GARCH(1,1) process which, although white noise, is non-trivially forecastable under asymmetric loss.
- Notes:
- Print version record
- October 1994.
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