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Financial forecasts in the presence of asymmetric loss aversion, skewness and excess kurtosis [An article from: Finance Research Letters]
Book Details
Author(s)G.A. Christodoulakis
PublisherElsevier
ISBN / ASINB000RR6JRY
ISBN-13978B000RR6JR4
MarketplaceFrance 🇫🇷
Description
This digital document is a journal article from Finance Research Letters, published by Elsevier in . The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
We present closed-form results for the out-of-sample forecasts under the joint presence of asymmetric loss and non-normality, extending the results of Granger [1969. Operations Research Quarterly 20, 199-207; 1999. Spanish Economic Review 1, 161-173] and Christoffersen and Diebold [1997. Econometric Theory 13, 808-817]. We consider the LinEx and Double LinEx loss functions and non-normal distributions in the form of the Gram-Charlier class. We show how the preference asymmetries interact with the distribution asymmetries to determine optimal forecasts which contain the optimal predictors under symmetry and normality as special cases. We also examine the implications of our results for the development of forecast rationality tests, extending the work of Batchelor and Peel [1998. Economics Letters 61, 49-54]. Our results are relevant for the design of efficient investment and risk management policies.
Description:
We present closed-form results for the out-of-sample forecasts under the joint presence of asymmetric loss and non-normality, extending the results of Granger [1969. Operations Research Quarterly 20, 199-207; 1999. Spanish Economic Review 1, 161-173] and Christoffersen and Diebold [1997. Econometric Theory 13, 808-817]. We consider the LinEx and Double LinEx loss functions and non-normal distributions in the form of the Gram-Charlier class. We show how the preference asymmetries interact with the distribution asymmetries to determine optimal forecasts which contain the optimal predictors under symmetry and normality as special cases. We also examine the implications of our results for the development of forecast rationality tests, extending the work of Batchelor and Peel [1998. Economics Letters 61, 49-54]. Our results are relevant for the design of efficient investment and risk management policies.
