Joint forecasts of Dow Jones stocks under general multivariate loss function

Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts*

“…3 It is implicitly assumed that losses due to forecast errors are not path-dependent, but the extension is straightforward. SeeAlp and Demetrescu (2010) for a discussion of multivariate loss functions allowing for path dependence when used in the present framework.© 2012 The Department of Economics, University of Oxford and John Wiley & Sons, Ltd.…”