Out-of-sample equity premium prediction: a complete subset quantile regression approach
نویسندگان
چکیده
منابع مشابه
A Quantile Regression Approach to Equity Premium Prediction
We propose a quantile regression approach to equity premium forecasting. Robust point forecasts are generated from a set of quantile forecasts, using both xed and time-varying weighting schemes, thus exploiting the entire distributional information associated with each predictor. Further gains are achieved by incorporating the forecast combination methodology in our quantile regression setting...
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ژورنال
عنوان ژورنال: The European Journal of Finance
سال: 2019
ISSN: 1351-847X,1466-4364
DOI: 10.1080/1351847x.2019.1647866