Comparing predictive accuracy in the presence of a loss function shape parameter

We develop tests for out-of-sample forecast comparisons based on loss functions that contain shape parameters. Examples include comparisons using average utility across a range of values for the level of risk aversion, comparisons of forecast accuracy using characteristics of a portfolio return acro...

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Bibliographic Details
Main Authors: Barendse, S, Patton, A
Format: Working paper
Published: University of Oxford 2020