A quantile regression approach to equity premium prediction

Meligkotsidou, L., Panopoulou, E., Vrontos, I.D. and Vrontos, S. 2014. A quantile regression approach to equity premium prediction. Journal of Forecasting. 33 (7), pp. 558-576. doi:10.1002/for.2312

TitleA quantile regression approach to equity premium prediction
AuthorsMeligkotsidou, L., Panopoulou, E., Vrontos, I.D. and Vrontos, S.
Abstract

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.

JournalJournal of Forecasting
Journal citation33 (7), pp. 558-576
ISSN0277-6693
Year2014
PublisherWiley
Accepted author manuscriptMeligkotsidou_et_al_2014_final_author_version.pdf
Digital Object Identifier (DOI)doi:10.1002/for.2312
Publication dates
Published14 Sep 2014

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Permalink - https://westminsterresearch.westminster.ac.uk/item/8yv17/a-quantile-regression-approach-to-equity-premium-prediction


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