-
-
-
The Governance & Culture Reform hub is designed to foster discussion about corporate governance and the reform of culture and behavior in the financial services industry.
Need to file a report with the New York Fed? Here are all of the forms, instructions and other information related to regulatory and statistical reporting in one spot.
The New York Fed works to protect consumers as well as provides information and resources on how to avoid and report specific scams.
-
-
-
The New York Fed provides a wide range of payment services for financial institutions and the U.S. government.
The New York Fed offers the Central Banking Seminar and several specialized courses for central bankers and financial supervisors.
The New York Fed has been working with tri-party repo market participants to make changes to improve the resiliency of the market to financial stress.
-
-
-
We are connecting emerging solutions with funding in three areas—health, household financial stability, and climate—to improve life for underserved communities. Learn more by reading our strategy.
The Economic Inequality & Equitable Growth hub is a collection of research, analysis and convenings to help better understand economic inequality.
The Governance & Culture Reform hub is designed to foster discussion about corporate governance and the reform of culture and behavior in the financial services industry.
-
| November 1995 Number 9524 |
|
Author: Jose A. Lopez The volatility forecast evaluations most meaningful to forecast users are those conducted under economically relevant loss functions. Although several such loss functions are proposed in the literature, their implied economic costs are of interest only to specific types of volatility forecast users. A forecast evaluation framework that incorporates a more general class of economic loss functions is proposed. A user's loss function specifies the three key elements of the evaluation framework: the economic events to be forecast, the criterion with which to evaluate these forecasts, and the subsets of the forecasts of particular interest. Volatility forecasts are transformed into probability forecasts of the specified events, and the probability forecasts are evaluated using statistical criteria, such as probability scoring rules, tailored to the user's interests. An empirical example using exchange rates illustrates the procedure and confirms that the choice of loss function directly affects the forecast evaluation results. |
|
|
45 pages / 1,371 kb
