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

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Abstract

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 Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User:	Jim Jamieson
Date Deposited:	12 Nov 2014 20:05
Last Modified:	18 Jun 2020 21:15
URI:	http://repository.essex.ac.uk/id/eprint/11558

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