Forecast accuracy is typically measured in terms of a given loss function. However, as a consequence of the use of … misspecified models in multiple model comparisons, relative forecast rankings are loss function dependent. This paper addresses … application to exchange rate data indicates that our tests can help identify superior forecasting models, regardless of loss …

random, thus, a loss function that measures the loss sustained by a decision-maker who takes as valid a ruin function which … is not correct can be considered. By using squared-error loss function and appropriate distribution function for these …

random, thus, a loss function that measures the loss sustained by a decision-maker who takes as valid a ruin function which … is not correct can be considered. By using squared-error loss function and appropriate distribution function for these …