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Multi-step forecasts from threshold ARMA models using asymmetric loss functions

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  • Marcella Niglio

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  • Marcella Niglio, 2007. "Multi-step forecasts from threshold ARMA models using asymmetric loss functions," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 16(3), pages 395-410, November.
    • Handle: RePEc:spr:stmapp:v:16:y:2007:i:3:p:395-410
    DOI: 10.1007/s10260-007-0044-x
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    References listed on IDEAS

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    1. Graham Elliott & Allan Timmermann & Ivana Komunjer, 2005. "Estimation and Testing of Forecast Rationality under Flexible Loss," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(4), pages 1107-1125.
    2. Christoffersen, Peter F. & Diebold, Francis X., 1997. "Optimal Prediction Under Asymmetric Loss," Econometric Theory, Cambridge University Press, vol. 13(6), pages 808-817, December.
    3. Christodoulakis, George A., 2005. "Financial forecasts in the presence of asymmetric loss aversion, skewness and excess kurtosis," Finance Research Letters, Elsevier, vol. 2(4), pages 227-233, December.
    4. Amendola, Alessandra & Niglio, Marcella & Vitale, Cosimo, 2006. "The moments of SETARMA models," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 625-633, March.
    5. Soosung Hwang & John Knight & Stephen E. Satchell, 2001. "Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions," Annals of Economics and Finance, Society for AEF, vol. 2(1), pages 187-213, May.
    6. Christoffersen, Peter F & Diebold, Francis X, 1996. "Further Results on Forecasting and Model Selection under Asymmetric Loss," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 561-571, Sept.-Oct.
    7. Polonik, Wolfgang & Yao, Qiwei, 2000. "Conditional minimum volume predictive regions for stochastic processes," LSE Research Online Documents on Economics 6311, London School of Economics and Political Science, LSE Library.
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