Optimal Prediction Under Asymmetric Loss

Peter Christoffersen and Francis Diebold

No 167, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: Prediction problems involving asymmetric loss functions arise routinely in many fields, yet the theory of optimal prediction under asymmetric loss is not well developed. We study the optimal prediction problem under general loss structures and characterize the optimal predictor. We compute the optimal predictor analytically in two leading cases. Analytic solutions for the optimal predictor are not available in more complicated cases, so we develop numerical procedures for computing it. We illustrate the results by forecasting the GARCH(1,1) process which, although white noise, is non-trivially forecastable under asymmetric loss.

Date: 1994-10
Note: EFG CF
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Citations: View citations in EconPapers (13)

Published as as "Futher Results on Forcasting and Model Selection Under Asymmetric Loss ," Journal of Applied Econometrics, Vol. 11 (1996): 561-572.
Published as "Optimal Prediction Under Asymmetric Loss," Econometric Theory, Vol. 13 (1997): 808-817.(2)

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Related works:
Journal Article: Optimal Prediction Under Asymmetric Loss (1997)
Working Paper: Optimal prediction under asymmetric loss (1997)
Working Paper: Optimal Prediction Under Asymmetric Loss
Working Paper: Optimal Prediction Under Asymmetric Loss
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