considered under the loss function, (δ−μ)′D(δ−μ)σ2, where σ2 is unknown and D is a known positive definite diagonal matrix. A …

data of the prices of gold and silver. We study the shape of forecasters’ loss function and the rationality of their … forecasts. Assuming an asymmetric loss function weakens evidence against forecast rationality, but results depend on the …

loss function reflecting precision of estimation. This loss belongs to the class of precautionary loss functions. The … problem should be treated under a given loss function by specifying a prior distribution over the parameter space. Hence … minimax estimation of the unknown scale parameter under the asymmetric scale invariant loss function in detail. Copyright …

Kupiec and Christoffersen, respectively, as well as the quadratic loss function. The results indicate that VaR performs much …

This paper examines the accuracy of state revenue forecasting under a flexible loss function. Previous research has … rejection of forecast rationality might be the result of an asymmetric loss function. Once the asymmetry of the loss function is … taken into account using a flexible loss function, I find evidence that under-forecasting is less costly than over …