Aretz, Kevin and Peel, David (2013) An example of an optimal forecast exhibiting decreasing bias with increasing forecast horizon. Bulletin of Economic Research. ISSN 0307-3378 (In Press)
Full text not available from this repository.Abstract
Motivated by a central banker with an inflation target, we show that the optimal forecast bias under non-quadratic loss functions and non-normal forecast errors can decrease or initially increase and then decrease with the forecast horizon. We initially proof that, if the variable to forecast can be described by a generalized Rayleigh distribution, its conditional mean does in general not constitute the optimal prediction under a symmetric target zone loss function. Subsequently, we approximate the target zone loss function to show the potential for variation in optimal bias over the forecast horizon.
| Item Type: | Article |
|---|---|
| Journal or Publication Title: | Bulletin of Economic Research |
| Uncontrolled Keywords: | efficient markets ; forecast evaluation ; loss function ; rationality |
| Subjects: | UNSPECIFIED |
| Departments: | Lancaster University Management School > Accounting & Finance Lancaster University Management School > Economics |
| ID Code: | 45683 |
| Deposited By: | ep_importer_pure |
| Deposited On: | 11 Jul 2011 19:36 |
| Refereed?: | Yes |
| Published?: | In Press |
| Last Modified: | 08 May 2013 13:58 |
| Identification Number: | |
| URI: | http://eprints.lancs.ac.uk/id/eprint/45683 |
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