Evaluating the rationality of fixed-event forecasts

Article Abstract:

A test of fixed-event forecasts yields informative results in terms of its use in testing weak-efficiency hypothesis and its relation to forecast rationality. Fixed-event forecasts are useful in creating powerful tests of a hypothesis regarding weak-efficiency, provided that the number of available fixed-event forecasts are small. The concept of weak efficiency may be separated in principle from the rationality concept due to assymetric loss.

Analysis, Forecasting, Prediction theory

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Evaluating the predictive accuracy of volatility models

Article Abstract:

An alternative to the standard statistical loss functions normally used for evaluating financial volatility forecasts is proposed, based on probability scoring rules.

Forecasts and trends, Probabilities, Probability theory

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Cross-correlations and predictability of stock returns

Article Abstract:

A new study examines the the importance of cross-correlation via macroeconomic variables in models forecasting US small stock returns.

Stock price forecasting

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