Loss-Differential Path Forecasts from Quaedvlieg (2021)

Two example matrices of loss differentials at horizons \(h = 1, \dots, 20\) from the replication archive of Quaedvlieg (2021). $uspa is a configuration where average SPA holds but uniform SPA does not; $aspa is a configuration where both hold.

Usage

quaedvlieg2021

Format

A list with two elements, each a T x 20 numeric matrix:

uspa

Loss differentials with aSPA but not uSPA.

aspa

Loss differentials with both aSPA and uSPA.

Source

Author's replication archive distributed alongside Quaedvlieg (2021), JBES 39(1):40-53.