https://www.sebastianstoeckl.com/tags/forecast-accuracy/Forecast AccuracyHugoBlox Kit (https://hugoblox.com)en-usThu, 23 Apr 2026 00:00:00 +0000https://www.sebastianstoeckl.com/media/icon_hu_579dce1bfbea7b2a.pnghttps://www.sebastianstoeckl.com/tags/forecast-accuracy/https://www.sebastianstoeckl.com/publications/wp2026_risk_adjusting_forecasts/Thu, 23 Apr 2026 00:00:00 +0000https://www.sebastianstoeckl.com/publications/wp2026_risk_adjusting_forecasts/<div class="callout flex px-4 py-3 mb-6 rounded-md border-l-4 bg-blue-100 dark:bg-blue-900 border-blue-500" data-callout="note" data-callout-metadata=""> <span class="callout-icon pr-3 pt-1 text-blue-600 dark:text-blue-300"> <svg height="24" xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path fill="none" stroke="currentColor" stroke-linecap="round" stroke-linejoin="round" stroke-width="1.5" d="m16.862 4.487l1.687-1.688a1.875 1.875 0 1 1 2.652 2.652L6.832 19.82a4.5 4.5 0 0 1-1.897 1.13l-2.685.8l.8-2.685a4.5 4.5 0 0 1 1.13-1.897zm0 0L19.5 7.125"/></svg> </span> <div class="callout-content dark:text-neutral-300"> <div class="callout-title font-semibold mb-1">Note</div> <div class="callout-body">This is the <strong>next iteration</strong> of <a href="https://www.sebastianstoeckl.com/publications/2026_lost_in_translation/"><em>Lost in Translation? Risk-Adjusting RMSE for Economic Forecast Performance</em></a> (Salcher, Stöckl &amp; Hanke, <em>Journal of Forecasting</em>, 2026). Where the published paper introduces risk-adjusted forecast-accuracy measures (RAFE, C-RAFE, T-RAFE) and documents their link to economic performance, the present paper derives the full bias–variance identity of the Sharpe-ratio gap and maps classical shrinkage and factor-model estimators onto a unified frontier of portfolio rules.</div> </div> </div>