Taleb, Nassim Nicholas - In: International Journal of Forecasting 25 (2009) 4, pp. 744-759
The paper presents evidence that econometric techniques based on variance-L2 norm-are flawed and do not replicate. The result is un-computability of the role of tail events. The paper proposes a methodology to calibrate decisions to the degree (and computability) of forecast error. It classifies...