Optimal forecast combinations under general loss functions and forecast error distributions

Author:

Elliott Graham,Timmermann Allan

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference40 articles.

1. The combination of forecasts;Bates;Operations Research Quarterly,1969

2. Buchinsky, M., 1992, Methodological issues in quantile regression. Manuscript, Brown University.

3. A characterization of the distributions that imply mean–variance utility functions;Chamberlain;Journal of Economic Theory,1993

4. Chan, Y.L., Stock, J., Watson, M.W., 1999. A dynamic factor model framework for forecast combination. Spanish Economic Review 1, 91–121.

5. Optimal prediction under asymmetrical loss;Christoffersen;Econometric Theory,1997

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