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Forecasting the Brazilian Real and the Mexican Peso : asymmetric loss, forecast rationality, and forecaster herding

Fritsche, Ulrich; Pierdzioch, Christian; Ruelke, … - 2012

Using forecasts of the Brazilian real and the Mexican peso, we analyze the shape of the loss function of exchange-rate forecasters and the rationality of their forecasts. We find a substantial degree of cross-sectional heterogeneity with respect to the shape of the loss function. While some...

Persistent link: https://www.econbiz.de/10010425218

Forecasters and rationality : a comment on Fritsche et al., Forecasting the Brazilian Real and Mexican Peso ; asymmetric loss, forecast rationality and forecaster herding

Fildes, Robert - In: International journal of forecasting 31 (2015) 1, pp. 140-143

Persistent link: https://www.econbiz.de/10011327376

Forecasting the Brazilian Real and the Mexican Peso : asymmetric loss, forecast rationality, and forecaster herding

Fritsche, Ulrich; Pierdzioch, Christian; Ruelke, … - In: International journal of forecasting 31 (2015) 1, pp. 130-139

Persistent link: https://www.econbiz.de/10011327408

A boosting approach to forecasting gold and silver returns : economic and statistical forecast evaluation

Pierdzioch, Christian; Risse, Marian; Rohloff, Sebastian - In: Applied economics letters 23 (2016) 4/6, pp. 347-352

Persistent link: https://www.econbiz.de/10011430599

Skewed exchange-rate forecasts

Pierdzioch, Christian; Stadtmann, Georg - In: The European journal of finance 21 (2015) 13/15, pp. 1161-1175

Persistent link: https://www.econbiz.de/10011419815

Does partisan conflict predict a reduction in US stock market (realized) volatility? : evidence from a quantile-on-quantile regression model

Gupta, Rangan; Pierdzioch, Christian; Selmi, Refk; … - In: The North American journal of economics and finance : a … 43 (2018), pp. 87-96

Persistent link: https://www.econbiz.de/10012036263

Testing the optimality of inflation forecasts under flexible loss with random forests

Behrens, Christoph; Pierdzioch, Christian; Risse, Marian - In: Economic modelling 72 (2018), pp. 270-277

Persistent link: https://www.econbiz.de/10012100432

Using forecasts to uncover the loss function of federal open market committee members

Pierdzioch, Christian; Ruelke, Jan-Christoph; Tillmann, … - In: Macroeconomic dynamics 20 (2016) 3, pp. 791-818

Persistent link: https://www.econbiz.de/10011579764

Inflation forecasts and forecaster herding : evidence from South African survey data

Pierdzioch, Christian; Reid, Monique B.; Gupta, Rangan - In: Journal of behavioral and experimental economics 62 (2016), pp. 42-50

Persistent link: https://www.econbiz.de/10011640301

A note on forecasting the euro : do forecasters have an asymmetric loss function?

Fritsche, Ulrich; Pierdzioch, Christian; Ruelke, … - In: International economic journal 28 (2014) 2, pp. 333-343

Persistent link: https://www.econbiz.de/10010503510

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