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Optimal Prediction Under Asymmetric Loss

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References

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2010Quantiles as optimal point forecasts217 cited
2006Chapter 14 Survey Expectations203 cited
2004Optimal forecast combinations under general loss functions and forecast error distributions185 cited
2009Detecting and Predicting Forecast Breakdowns181 cited
2006Properties of optimal forecasts under asymmetric loss and nonlinearity

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2005An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series175 cited

1997EVALUATING DENSITY FORECASTS171 cited

2007Testing Forecast Optimality Under Unknown Loss169 cited

2003Inflation Targeting under Asymmetric Preferences162 cited

2003Anticipations of Monetary Policy in Financial Markets157 cited