Mincer–Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions

DOI10.1002/for.2462zbMath1397.62267OpenAlexW2599071934MaRDI QIDQ4687627

Zhijie Xiao, Kemal Güler, Pin T. Ng

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2462

zbMATH Keywords

summary statisticsdiagnostic testsaccuracy forecast

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Diagnostics, and linear inference and regression (62J20)

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