| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0167 |
| 来源ID | Technical Working Paper 0167 |
| Optimal Prediction Under Asymmetric Loss | |
| Peter F. Christoffersen; Francis X. Diebold | |
| 发表日期 | 1994-10-01 |
| 出版年 | 1994 |
| 语种 | 英语 |
| 摘要 | Prediction problems involving asymmetric loss functions arise routinely in many fields, yet the theory of optimal prediction under asymmetric loss is not well developed. We study the optimal prediction problem under general loss structures and characterize the optimal predictor. We compute the optimal predictor analytically in two leading cases. Analytic solutions for the optimal predictor are not available in more complicated cases, so we develop numerical procedures for computing it. We illustrate the results by forecasting the GARCH(1,1) process which, although white noise, is non-trivially forecastable under asymmetric loss. |
| URL | https://www.nber.org/papers/t0167 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562286 |
| 推荐引用方式 GB/T 7714 | Peter F. Christoffersen,Francis X. Diebold. Optimal Prediction Under Asymmetric Loss. 1994. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0167.pdf（712KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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