Meligkotsidou, Loukia and Panopoulou, Ekaterini and Vrontos, Ioannis D and Vrontos, Spyridon D (2021) Out-of-sample equity premium prediction: a complete subset quantile regression approach. The European Journal of Finance, 27 (1-2). pp. 110-135. DOI https://doi.org/10.1080/1351847x.2019.1647866
Meligkotsidou, Loukia and Panopoulou, Ekaterini and Vrontos, Ioannis D and Vrontos, Spyridon D (2021) Out-of-sample equity premium prediction: a complete subset quantile regression approach. The European Journal of Finance, 27 (1-2). pp. 110-135. DOI https://doi.org/10.1080/1351847x.2019.1647866
Meligkotsidou, Loukia and Panopoulou, Ekaterini and Vrontos, Ioannis D and Vrontos, Spyridon D (2021) Out-of-sample equity premium prediction: a complete subset quantile regression approach. The European Journal of Finance, 27 (1-2). pp. 110-135. DOI https://doi.org/10.1080/1351847x.2019.1647866
Abstract
This paper extends the complete subset linear regression framework to a quantile regression setting. We employ complete subset combinations of quantile forecasts in order to construct robust and accurate equity premium predictions. We show that our approach delivers statistically and economically significant out-of-sample forecasts relative to both the historical average benchmark, the complete subset mean regression approach and the single-variable quantile forecast combination approach. Our recursive algorithm that selects, in real time, the best complete subset for each predictive regression quantile succeeds in identifying the best subset in a time- and quantile-varying manner.
Item Type: | Article |
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Uncontrolled Keywords: | Equity premium, forecast combination, predictive quantile regression, robust point forecasts, subset quantile regressions |
Divisions: | Faculty of Science and Health Faculty of Social Sciences Faculty of Science and Health > Mathematics, Statistics and Actuarial Science, School of Faculty of Social Sciences > Essex Business School |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 12 Aug 2019 08:48 |
Last Modified: | 30 Oct 2024 16:16 |
URI: | http://repository.essex.ac.uk/id/eprint/25138 |
Available files
Filename: Out-of-sample equity premium prediction complete subset.pdf