Predictable return distributions

DOI10.1002/FOR.2323MaRDI QIDQ4687537zbMATH OpenOpenAlexFDO

Authors Thomas Q. Pedersen

Publication date 12 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://pure.au.dk/ws/files/21591975/rp10_38.pdf

zbMATH Keywords

multivariate modelquantile regressionreturn predictability

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Credit risk (91G40)

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(6)

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• MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS
• A quantile regression approach to equity premium prediction
• Predicting the distribution of stock returns: model formulation, statistical evaluation, VaR analysis and economic significance
• Quantile aggregation and combination for stock return prediction
• Persistence of return distribution sequence in financial markets

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