Please use this identifier to cite or link to this item:
|Title:||Decision-Based Forecast Evaluation of UK Interest Rate Predictability|
Hall, Stephen G.
|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.|
|Embargo on file until:||15-Oct-2017|
|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|
Files in This Item:
|JoF_Final Version_April 2015.pdf||Post-review (final submitted)||390.84 kB||Adobe PDF||View/Open|
Items in LRA are protected by copyright, with all rights reserved, unless otherwise indicated.