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Conditional predictive ability
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Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions
Lee, Tae-Hwy
;
Hong, Yongmiao
-
Econometric Society
-
2004
martingale
difference
(MD). The one-step forecast error forms the conditional moment condition obtained from the loss derivative …
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