Evaluation and Comparison of Forecasting Performance
Speaker:
Allan Timmermann, Rady School of Management, UCSD
Date and Time:
Thursday, April 19, 2018 - 1:00pm to 2:30pm
Location:
Fields Institute, Room 230
Abstract:
Finance is focused on intertemporal decision making under uncertainty and so forecasts of unknown future outcomes plays a key role in several areas of finance, including asset pricing, corporate finance, and studies of bank runs. Evaluating whether investors’ and firms’ forecasts are biased or optimal as well as comparing the predictive accuracy of competing approaches is an integral part of this analysis. The workshop covers both topics, with the first part focusing on analyzing “absolute” forecasting performance (e.g., tests for unbiasedness and efficiency under general objective functions), while the second part focuses on measuring and testing the relative forecasting performance of competing accuracy.