Predicting the equity market risk premium: a model selection approach
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Publication:2158352
DOI10.1016/J.ECONLET.2022.110448zbMATH Open1493.91118OpenAlexW4220669782MaRDI QIDQ2158352FDOQ2158352
Publication date: 26 July 2022
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2022.110448
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)
Cites Work
- Best subset selection via a modern optimization lens
- Approximately normal tests for equal predictive accuracy in nested models
- Asymptotics for out of sample tests of Granger causality
- In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
- Best subset, forward stepwise or Lasso? Analysis and recommendations based on extensive comparisons
Cited In (6)
- How to choose the return model for market risk? Getting towards a right magnitude of stressed VaR
- Comparison of forecasting methods with an application to predicting excess equity premium
- Measuring short-term risk of initial public offering of equity securities: a hybrid Bayesian and data-envelopment-analysis-based approach
- Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance
- Maximizing equity market sector predictability in a Bayesian time-varying parameter model
- Out‐of‐sample equity premium prediction: A scenario analysis approach
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