Volatility and Time Series Econometrics Essays in Honor of Robert Engle
Generalized Forecast Errors, a Change of Measure, and Forecast Optimality
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Patton, AJ; Timmermann, A
May 1, 2010
This chapter discusses properties of optimal forecasts under general loss functions, and proposes an interesting change of measure under which minimum mean square error forecast properties can be recovered. The outline of this chapter is as follows. Section 2 establishes properties of optimal forecasts under general known loss functions. Section 3 contains the change of measure result, and Section 4 presents empirical illustrations of the results. Section 5 concludes.
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Patton, A. J., & Timmermann, A. (2010). Generalized Forecast Errors, a Change of Measure, and Forecast Optimality. In Volatility and Time Series Econometrics Essays in Honor of Robert Engle. https://doi.org/10.1093/acprof:oso/9780199549498.003.0010
Patton, A. J., and A. Timmermann. “Generalized Forecast Errors, a Change of Measure, and Forecast Optimality.” In Volatility and Time Series Econometrics Essays in Honor of Robert Engle, 2010. https://doi.org/10.1093/acprof:oso/9780199549498.003.0010.
Patton AJ, Timmermann A. Generalized Forecast Errors, a Change of Measure, and Forecast Optimality. In: Volatility and Time Series Econometrics Essays in Honor of Robert Engle. 2010.
Patton, A. J., and A. Timmermann. “Generalized Forecast Errors, a Change of Measure, and Forecast Optimality.” Volatility and Time Series Econometrics Essays in Honor of Robert Engle, 2010. Scopus, doi:10.1093/acprof:oso/9780199549498.003.0010.
Patton AJ, Timmermann A. Generalized Forecast Errors, a Change of Measure, and Forecast Optimality. Volatility and Time Series Econometrics Essays in Honor of Robert Engle. 2010.