Search Results - subject:"Loss Functions"

Forecasting Stock Market Volatility with Regime-Switching GARCH Models

Marcucci, Juri - In: Studies in Nonlinear Dynamics & Econometrics 9 (2005) 4, pp. 1145-1145

risk-management loss functions. Under statistical losses, we use both tests of equal predictive ability of the Diebold … under two subjective VaR-based loss functions. The empirical analysis demonstrates that MRS-GARCH models do really …-based risk-management loss functions. In particular, all tests reject the presence of a better model than the MRS-GARCH with …

Persistent link: https://www.econbiz.de/10005246316

Correspondence On the Selection of Error Measures for Comparisons Among Forecasting Methods

Armstrong, JS; Fildes, Robert - EconWPA - 2004

Clements and Hendry (1993) proposed the Generalized Forecast Error Second Moment (GFESM) as an improvement to the Mean Square Error in comparing forecasting performance across data series. They based their conclusion on the fact that rankings based on GFESM remain unaltered if the series are...

Persistent link: https://www.econbiz.de/10005119364

Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions

Lee, Tae-Hwy; Hong, Yongmiao - Econometric Society - 2004

Under the squared error loss, the optimal forecast is the conditional mean, and the one-step forecast error is a martingale difference (MD). The one-step forecast error forms the conditional moment condition obtained from the loss derivative with respect to the forecast. Similarly, under a...

Persistent link: https://www.econbiz.de/10005329017

The Macroeconomic Loss Function: A Critical Note

Mayer, Thomas - Economics Department, University of California-Davis - 2003

The standard loss function gives the same weight to positive and negative deviations from the output and inflation targets. This short note criticizes this symmetry assumption. If the period covered is long enough output growth in excess of the target, and often also inflation rates that are...

Persistent link: https://www.econbiz.de/10008620513

On the bayesianity of pereira-stern tests

Madruga, M.; Esteves, Luis; Wechsler, Sergio - In: TEST: An Official Journal of the Spanish Society of … 10 (2001) 2, pp. 291-299

Persistent link: https://www.econbiz.de/10005613322

Analytic approximation of the interval of Bayes actions derived from a class of loss functions

Abraham, Christophe; Daurès, Jean-Pierre - In: TEST: An Official Journal of the Spanish Society of … 8 (1999) 1, pp. 129-145

Persistent link: https://www.econbiz.de/10005390569

Monetary policy loss functions: two cheers for the quadratic

CHADHA, Jagjit; SCHELLEKENS, Philip - Faculteit Toegepaste Economische Wetenschappen, …

in some cases equivalent, to those implied by a shifted quadratic; (iii) the use of asymmetric loss functions leads to …

Persistent link: https://www.econbiz.de/10005350899

Pan, J. N.; Chen, Sheau-Chiann - ToKnowPress

indices and loss functions, in which the multivariate process capability indices and multivariate loss functions describe the …

Persistent link: https://www.econbiz.de/10010711924

An upper bound for sstress

Leeuw, Jan; Bettonvil, Bert - In: Psychometrika 51 (1986) 1, pp. 149-153

Persistent link: https://www.econbiz.de/10005166436

Differentiability of Kruskal's stress at a local minimum

Leeuw, Jan - In: Psychometrika 49 (1984) 1, pp. 111-113

Persistent link: https://www.econbiz.de/10005757865

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