Please use this identifier to cite or link to this item: http://hdl.handle.net/2381/32961
Title: Decision-Based Forecast Evaluation of UK Interest Rate Predictability
Authors: Sirichand, K.
Hall, Stephen G.
First Published: 15-Oct-2015
Publisher: Wiley
Citation: Journal of Forecasting, 2015
Abstract: This paper illustrates the importance of density forecasting and forecast evaluation in portfolio decision making. The decision making environment is fully described for an investor seeking to optimally allocate her portfolio between long and short Treasury Bills, over investment horizons of up to two years. We examine the impact of parameter uncertainty and predictability in bond returns on the investor's allocation and we describe how the forecasts are computed and used in this context. Both statistical and decision-based criteria are used to assess the predictability of returns. Our results show sensitivity to the evaluation criterion used and in the context of investment decision making under an economic value criterion, we find some potential gain for the investor from assuming predictability.
DOI Link: 10.1002/for.2369
ISSN: 0277-6693
eISSN: 1099-131X
Links: http://onlinelibrary.wiley.com/doi/10.1002/for.2369/abstract
http://hdl.handle.net/2381/32961
Embargo on file until: 15-Oct-2017
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: This is the peer reviewed version of the following article: Sirichand, K., and Hall, S. G. (2015) Decision-Based Forecast Evaluation of UK Interest Rate Predictability. J. Forecast.,, which has been published in final form at http://onlinelibrary.wiley.com/doi/10.1002/for.2369/abstract. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.
Description: JEL Classifications: C32, C53, E43, E47, G11
Appears in Collections:Published Articles, Dept. of Economics

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