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http://hdl.handle.net/10419/55665
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| Title: | | Oil price forecasting under asymmetric loss  |
| Authors: | | Pierdzioch, Christian Rülke, Jan-Christoph Stadtmann, Georg |
| Issue Date: | | 2012 |
| Series/Report no.: | | Discussion paper // European University Viadrina, Department of Business Administration and Economics 314 |
| Abstract: | | Based on the approach advanced by Elliott et al. (Rev. Ec. Studies. 72, 1197-1125), we found that the loss function of a sample of oil price forecasters is asymmetric in the forecast error. Our findings indicate that the loss oil price forecasters incurred when their forecasts exceeded the price of oil tended to be larger than the loss they incurred when their forecast fell short of the price of oil. Accounting for the asymmetry of the loss function does not necessarily make forecasts look rational. |
| Subjects: | | oil price forecasting loss function rationality of forecasts |
| JEL: | | F31 D84 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Europa-Universität Viadrina
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