We propose point forecast accuracy measures based directly on distance of the forecast-error c.d.f. from the unit step function at 0 (\stochastic error distance," or SED). We provide a precise characterization of the relationship between SED and standard predictive loss functions, showing that...

Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date. This approach is based on the premise that demand for crude oil derives...

We propose and explore several related ways of reducing reliance of point forecast accuracy evaluation on expected loss, E(L(e)), where e is forecast error. Our central approach dispenses with the loss function entirely, instead using a \stochastic error divergence" (SED) accuracy measure based...