Research Repository

A quantile regression approach to equity premium prediction

Meligkotsidou, L and Panopoulou, E and Vrontos, ID and Vrontos, SD (2014) 'A quantile regression approach to equity premium prediction.' Journal of Forecasting, 33 (7). 558 - 576. ISSN 0277-6693

MPVV.pdf - Submitted Version

Download (1MB) | Preview


Copyright © 2014 John Wiley & Sons, Ltd. We propose a quantile regression approach to equity premium forecasting. Robust point forecasts are generated from a set of quantile forecasts using both fixed and time-varying weighting schemes, thereby exploiting the entire distributional information associated with each predictor. Further gains are achieved by incorporating the forecast combination methodology into our quantile regression setting. Our approach using a time-varying weighting scheme delivers statistically and economically significant out-of-sample forecasts relative to both the historical average benchmark and the combined predictive mean regression modeling approach.

Item Type: Article
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Science and Health > Mathematical Sciences, Department of
Faculty of Social Sciences > Essex Business School
Depositing User: Jim Jamieson
Date Deposited: 12 Nov 2014 20:05
Last Modified: 30 Sep 2019 14:15

Actions (login required)

View Item View Item