Predicting the equity market risk premium: a model selection approach

DOI10.1016/J.ECONLET.2022.110448zbMath1493.91118OpenAlexW4220669782MaRDI QIDQ2158352

Cetin Ciner

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

zbMATH Keywords

model selectionforecastingequity market risk premium

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cites Work

• Approximately normal tests for equal predictive accuracy in nested models
• Best subset selection via a modern optimization lens
• Asymptotics for out of sample tests of Granger causality
• Best subset, forward stepwise or Lasso? Analysis and recommendations based on extensive comparisons
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?

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