Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2001
consistency in the choice of loss functions is crucial. First, for any given model, the loss function used in parameter estimation … comparing models, the estimation loss function should be identical across models, otherwise unfair comparisons will be made. We … index options. We find reductions of over 50 percent in the root mean squared error of the PBS model when the estimation and …