CEU Electronic Theses and Dissertations, 2023
| Author | Monostoriné Grolmusz, Viola |
|---|---|
| Title | Essays on Economic Forecasting Under General Loss Functions |
| Summary | This thesis consists of three chapters on economic forecasting under general loss functions. The first two chapters make contributions to the theory of econometric forecasting, while the third one presents new evidence that stock analyst forecasts are biased. In the first chapter, I use a regime switching framework and assume asymmetric loss functions when deriving optimal forecast combination weights. In the second chapter, co-authored with Róbert Lieli and Maxwell Stinchcombe, we explore a serious identification problem in the estimation of the asymmetry parameter in the seminal 2005 paper of Elliott, Komunjer and Timmermann. In the third chapter, I estimate an asymmetry parameter capturing stock analyst's relative cost from overpredicting versus underpredicting the stock performance and present new evidence on analysts' bias. |
| Supervisor | Lieli, Róbert |
| Department | Economics PhD |
| Full text | https://www.etd.ceu.edu/2023/grolmusz_viola.pdf |
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