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Beyond Optimal Forecasting

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Author Info
Richard A. Ashley.

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Abstract

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File URL: http://ashleymac.econ.vt.edu/working_papers/beyond_optimal_shrinkage.pdf
File Format: application/pdf
File Function: First version, 2004
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Publisher Info
Paper provided by Virginia Polytechnic Institute and State University, Department of Economics in its series Working Papers with number e06-10.

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Length: 33 pages
Date of creation: 2006
Date of revision:
Handle: RePEc:vpi:wpaper:e06-10

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Postal: Blacksburg, Virginia 24061
Web page: http://www.econ.vt.edu
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Related research
Keywords: forecasting; forecast loss functions; stochastic dominance.;

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This paper has been announced in the following NEP Reports: References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Hadar, Josef & Russell, William R, 1969. "Rules for Ordering Uncertain Prospects," American Economic Review, American Economic Association, vol. 59(1), pages 25-34, March. [Downloadable!] (restricted)
  2. Ashley, Richard, 1990. "Shrinkage Estimation with General Loss Functions: An Application of Stochastic Dominance Theory," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(2), pages 301-13, May. [Downloadable!] (restricted)
  3. Chetan, Dave, 2004. "Are Investment Expectations Rational?," Analytical Studies Branch Research Paper Series 2004208e, Statistics Canada, Analytical Studies Branch. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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This page was last updated on 2009-11-5.

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