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Volatility and Time Series EconometricsEssays in Honor of Robert Engle$
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Tim Bollerslev, Jeffrey Russell, and Mark Watson

Print publication date: 2010

Print ISBN-13: 9780199549498

Published to Oxford Scholarship Online: May 2010

DOI: 10.1093/acprof:oso/9780199549498.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 23 September 2021

Generalized Forecast Errors, a Change of Measure, and Forecast Optimality *

Generalized Forecast Errors, a Change of Measure, and Forecast Optimality *

Chapter:
(p.194) 10 Generalized Forecast Errors, a Change of Measure, and Forecast Optimality*
Source:
Volatility and Time Series Econometrics
Author(s):

Andrew J. Patton

Allan Timmermann

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780199549498.003.0010

This chapter discusses properties of optimal forecasts under general loss functions, and proposes an interesting change of measure under which minimum mean square error forecast properties can be recovered. The outline of this chapter is as follows. Section 2 establishes properties of optimal forecasts under general known loss functions. Section 3 contains the change of measure result, and Section 4 presents empirical illustrations of the results. Section 5 concludes.

Keywords:   forecasts, general loss functions, inflation, optimal forecasts

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