Loughborough University
Leicestershire, UK
LE11 3TU
+44 (0)1509 263171
Loughborough University

Loughborough University Institutional Repository

Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/19754

Title: Decision-based forecast evaluation of UK interest rate predictability
Authors: Sirichand, Kavita
Hall, S.G.
Keywords: Optimal portfolio choice
Density forecasting
Return predictability
Parameter uncertainty and forecast evaluation
Issue Date: 2016
Publisher: © Wiley
Citation: SIRICHAND, K and HALL, S.G., 2016. Decision-based forecast evaluation of UK interest rate predictability. Journal of Forecasting, 35(2), pp.93-112.
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 investorís 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 Önd some potential gain for the investor from assuming predictability.
Description: This paper is in closed access until 15th Oct 2017.
Version: Accepted for publication
DOI: 10.1002/for.2369
URI: https://dspace.lboro.ac.uk/2134/19754
Publisher Link: http://dx.doi.org/10.1002/for.2369
ISSN: 1099-131X
Appears in Collections:Closed Access (Business School)

Files associated with this item:

File Description SizeFormat
JoF_Final Version_April 2015.pdfAccepted version391.11 kBAdobe PDFView/Open

 

SFX Query

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.