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Optimal Prediction Under Asymmetric Loss

Christoffersen, Peter F.; Diebold, Francis X. - In: Econometric Theory 13 (1997) 06, pp. 808-817

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...

Persistent link: https://www.econbiz.de/10005250104

Prediction, Extraction, and Estimation in Unobserved Components Models

Diebold, Francis X.; Nerlove, Marc - In: Econometric Theory 3 (1987) 02, pp. 305-305

Persistent link: https://www.econbiz.de/10005250064

Prediction, Extraction, and Estimation in Unobserved Components Model

Diebold, Francis X.; Nerlove, Marc - In: Econometric Theory 4 (1988) 02, pp. 356-359

Persistent link: https://www.econbiz.de/10008739383

Forecasting, Structural Time Series Models and the Kalman Filter, Andrew C. Harvey Cambridge University Press, 1939 Fore Casting, Structural Time Series Models and The Kalman Filte...

Diebold, Francis X. - In: Econometric Theory 8 (1992) 02, pp. 293-299

Persistent link: https://www.econbiz.de/10008739423

THE ET INTERVIEW: PROFESSOR ROBERT F. ENGLE, JANUARY 2003

Diebold, Francis X. - In: Econometric Theory 19 (2003) 06, pp. 1159-1193

Persistent link: https://www.econbiz.de/10005411810