Decision‐Based Methods for Forecast Evaluation

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The ECB Survey of Professional Forecasters (SPF) - A Review After Eight Years' Experience (2007, background): “32 The importance of probability event and density forecasts can be justified within a decision-based framework (see Pesaran and Skouras (2002)).”
Evaluating early warning indicators of banking crises: Satisfying policy requirements (2014, methodology): “…matter for the ex post 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).”
Making and Evaluating Point Forecasts (2009, background): “indeed, as argued by Pesaran and Skouras (2002), the decisiontheoretic approach provides a unifying framework for the evaluation of both probabilistic and point forecasts”
Model Averaging in Risk Management with an Application to Futures Markets (2009, background): “…metrics such as RMSFE is further complicated by the need to select weights to be attached to errors in forecasts of individual asset volatilities and their crossvolatility correlations and the choice of such weights is not innocuous in a multivariate framework (see Pesaran and Skouras (2002)).”