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Thesis

Essays on forecast evaluation and financial econometrics

Abstract:

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...

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Institution:
University of Oxford
Division:
SSD
Department:
Economics
Research group:
Nuffield College; Oxford-Man Institute of Quantitative Finance
Oxford college:
Nuffield College
Role:
Author

Contributors

Division:
SSD
Department:
Economics
Role:
Supervisor
Division:
SSD
Department:
Economics
Role:
Supervisor
Publication date:
2013
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford

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