**[Lost in Translation](/publications/2026_lost_in_translation/)** is now published in *Journal of Forecasting*

The paper Lost in Translation? Risk-Adjusting RMSE for Economic Forecast Performance (Lukas Salcher, Sebastian Stöckl, Michael Hanke) is now published in the Journal of Forecasting.

The paper shows that traditional MSE-based forecast accuracy measures have weak or even negative correlation with the economic value of forecasts (e.g., Sharpe ratios of resulting portfolios). We derive a multivariate risk-adjusted error measure of which RMSE is a special case under restrictive assumptions, and trace exactly how each simplification erodes explanatory power.

→ Read the paper (open access) · Replication code