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• W2105804552 abstract "We propose a quantile regression approach to equity premium forecasting. Robust point forecasts are generated by both fixed 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. Our approach using a time-varying weighting scheme delivers statistically and economically significant out-of-sample forecasts relative to the historical average benchmark and the combined mean predictive regression modeling approach." @default.
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• W2105804552 date "2012-01-01" @default.
• W2105804552 modified "2023-09-23" @default.
• W2105804552 title "A Quantile Regression Approach to Equity Premium Prediction" @default.
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• W2105804552 doi "https://doi.org/10.2139/ssrn.2061036" @default.
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