AN EXAMPLE OF AN OPTIMAL FORECAST EXHIBITING DECREASING BIAS WITH INCREASING FORECAST HORIZON

DOI10.1111/J.1467-8586.2010.00383.XzbMath1279.91135OpenAlexW2117342048MaRDI QIDQ2870070

Kevin Aretz, David A. Peel

Publication date: 17 January 2014

Published in: Bulletin of Economic Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-8586.2010.00383.x

zbMATH Keywords

loss functionrationalityforecast evaluationefficient markets

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• Properties of optimal forecasts under asymmetric loss and nonlinearity
• Optimal forecast combinations under general loss functions and forecast error distributions
• Prediction with a Generalized Cost of Error Function
• Unnamed Item

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