Decisionmetrics: A decision-based approach to econometric modelling

Author:

Skouras Spyros

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference33 articles.

1. Variable selection for portfolio choice;Aït-Sahalia;Journal of Finance,2001

2. Prediction and entropy;Akaike,1985

3. Transaction costs and predictability: some utility cost calculations;Balduzzi;Journal of Financial Economics,1999

4. Estimation Risk and Optimal Portfolio Choice;Bawa,1979

5. Brandt, M., Santa-Clara, P., 2003. Dynamic portfolio selection by augmenting the asset space. Discussion paper, Duke University.

Cited by 13 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Comparing Possibly Misspecified Forecasts;Journal of Business & Economic Statistics;2019-05-31

2. Improving Markov switching models using realized variance;Journal of Applied Econometrics;2017-10-06

3. Asymptotic Inference for Performance Fees and the Predictability of Asset Returns;Journal of Business & Economic Statistics;2017-05-10

4. Forecasting in Economics and Finance;Annual Review of Economics;2016-10-31

5. Volatility timing: How best to forecast portfolio exposures;Journal of Empirical Finance;2013-12

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