Further results on forecasting and model
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Peter F. Christoffersen; Francis X. Diebold
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Article
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1996
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John Wiley and Sons
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English
β 606 KB
We make three related contributions. First, we propose a new technique for solving prediction problems under asymmetric loss using piecewise-linear approximations to the loss function, and we establish existence and uniqueness of the optimal predictor. Second, we provide a detailed application to op