Forecasting and Decision Theory

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Making and Evaluating Point Forecasts (2009, background): “If a scoring function S exists that is consistent for the functional T, a natural question is whether it might be unique, up to the inessential transformations described by Granger and Machina (2006).”
Evaluating early warning indicators of banking crises: Satisfying policy requirements (2014, background): “WP 421 Evaluating early warning indicators of banking crises: Satisfying policy requirements 5 evaluation of its forecasting performance as these components define the loss function (eg Pesaran and Skouras (2002) and Granger and Machina (2006) and references therein). Equally, the preferences that i”
Composite Binary Losses (2009, background): “The idea of a link function is not as well known as it should be and is thus reinvented—see for example Granger and Machina (2006). Often one will choose the loss first (tailoring its properties by the weighting given according to w(c)), and then choose the link somewhat arbitrarily to map the hypot”
Machine Learning Advances for Time Series Forecasting (2020, methodology): “See Granger and Machina (2006) for references of a detailed exposition of this topic, Elliott and Timmermann (2008) for a discussion of the role of the loss function in forecasting, and Elliott and Timmermann (2016) for a more recent review.”