substituted by a proxy, the ordering implied by a loss function may be biased with respect to the intended one. We point out that …

-sectional heterogeneity across forecasters with respect to the shape of their loss function. Forecasters’ loss function often appears to be … function often (but not always) makes forecasts look rational. The asymmetry of forecasters’ loss function tended to increase … asymmetric with respect to the forecast error, especially in the case of medium-term forecasts. Assuming an asymmetric loss …

framework that is characterized by the joint distribution of forecasts and actuals, and a general loss function. Analysis of …