A Quantile Regression Approach to Equity Premium Prediction
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: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2061036