Out‐of‐sample equity premium prediction: A scenario analysis approach

DOI10.1002/FOR.2519MaRDI QIDQ4687675zbMATH OpenOpenAlexWikidataFDO

Authors Xiaoxiao Tang, Peiming Wang, Feifang Hu

Publication date 12 October 2018

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

Full work available at URL https://doi.org/10.1002/for.2519

zbMATH Keywords

combination forecastMarkov chainquantile regressionscenario analysis

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• A quantile regression approach to equity premium prediction
• Forecasting the equity premium: mind the news!
• Comparison of forecasting methods with an application to predicting excess equity premium

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