Predicting the Equity Premium with Combination Forecasts

Out-of-sample equity premium prediction: A complete subset ...

Keywords: Equity premium; Forecast combination; Predictive quantile regression; Ro- bust point forecasts; Subset quantile regressions. Acknowledgments ...

Improving Equity Premium Forecasts by Incorporating ... - UQ eSpace

The Forecast Combination across Estimation Windows approach incorporates the trade-off between the bias and the variance of forecasting errors because windows ...

Combination Forecasts and Links to the Real Economy - Cardiff ...

Welch and Goyal (2008) find that numerous economic variables with in-sample predictive ability for the equity premium fail to deliver consistent ...

Predicting the equity market with option- implied variables - CentAUR

Forecast combinations provide stable forecasts for both excess returns and ... Predicting the equity premium with dividend ratios. Management Science ...

Predicting the Equity Premium with Dividend Ratios - PubsOnLine

Our paper suggests a simple, recursive residuals (out-of-sample) graphical approach to evaluating the predictive power of popular equity premium and stock ...

Out-of-Sample Equity Premium Prediction: Combination Forecasts ...

Relative to combination forecasts, individual predictive regression models produce equity risk premium forecasts with implausibly large fluctuations, while the ...

Out-of-Sample Equity Premium Prediction: Fundamental vs ...

We compare the ability of economic fundamentals and technical trading rules to forecast the monthly U.S. equity premium using out-of-sample tests for ...

A complete subset quantile regression approach

Keywords: Equity premium; Forecast combination; Predictive quantile regression; Ro- bust point forecasts; Subset quantile regressions. ACorresponding author ...

Combination Forecasts versus Multivariate Regression

This paper examines the combination forecast and multivariate regression approaches for equity premium predictability. We evaluate 27 specifications with a ...

Let's Do It Again: Bagging Equity Premium Predictors

combined-forecast (CF) of the 11 forecasts in each column. R2. OS measures the relative gain of a predictive regression over HA. 33. Page 36. Table 3. Utility ...

Predicting the equity premium with a high‐threshold risk level and ...

The equity premium declines linearly with sentiment but increases nonlinearly with VIX, stepping up appreciably when VIX exceeds a threshold ...

Predicting the equity premium via its components - ICMAIF

Combining these two ingredients, i.e. decomposing the equity premium and applying a wider range of forecasting variables, we create a new extended SOP (i.e. the ...

Directional Forecasting of Equity Risk Premiums using Machine ...

For predicting the level of equity risk premiums ... Out-of-sample equity premium prediction: Combination forecasts and links to the real economy.

Bagging Constrained Forecasts with Application to Forecasting ...

Campbell and Thompson (2008), “Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?”, we show that the resulting forecasts.

What can we learn about the equity premium from professional ...

convex combination forecast using the forecasts generated by models i and j, ... Out-of-sample equity premium prediction: Combi- nation forecasts and links to the ...

Predicting the Equity Premium around the Globe

Out-of-sample equity premium prediction: Combination forecasts and links to the real economy. Review of Financial Studies, 23(2),. 821–862 ...

A Quantile Regression Approach to Equity Premium Prediction

We propose a quantile regression approach to equity premium forecasting. Robust point forecasts are generated from a set of quantile forecasts ...

Predicting the Equity Premium with Combination Forecasts - Book学术

Abstract. This paper reappraises the usefulness of combining individual forecasts for predicting the U.S. equity premium. For comparison, we also consider ...

Combination Forecasts and Links to the Real Economy - a-z.lu

Welch and Goyal (2008) find that numerous economic variables with in-sample predictive ability for the equity premium fail to deliver consistent ...

Forecasting the Long-Term Equity Premium for Asset Allocation

CS-GFM equity premium forecasts produce significant utility gains compared to long-term asset allocation strategies based on eighteen commonly used prediction ...