Hwang, Soosung; Knight, John; Satchell, Stephen E. - In: Annals of Economics and Finance 2 (2001) 1, pp. 187-213
This paper applies LINEX loss functions to forecasting nonlinear functions of variance. We derive the optimal one-step-ahead LINEX forecast for various volatility models using data transformations such as ln(y2t) where yt is the return of the asset. Our results suggest that the LINEX loss...
