Abstract: This thesis consists of three papers that makes independent contributions to the fields of forecast evaluation and financial econometrics. As such, the papers, chapter 1-3, can be read independently of each other.
In Chapter 1, “Inferring an agent’s loss function based on a term structure of forecasts”, we provide conditions for identification, estimation and inference of an agent’s loss function based on an observed term structure of point forecasts. The loss function spe...Expand abstract
- Publication date:
- Type of award:
- Level of award:
- Local pid:
- Copyright holder:
- Kasper Lund-Jensen
- Copyright date:
- This thesis is not currently available in ORA.
Essays on forecast evaluation and financial econometrics
If you are the owner of this record, you can report an update to it here: Report update to this record