Out‐of‐sample equity premium prediction: A scenario analysis approach

DOI10.1002/for.2519zbMath1397.62436OpenAlexW2794758690WikidataQ130047265 ScholiaQ130047265MaRDI QIDQ4687675

Peiming Wang, Xiaoxiao Tang, Fei-fang Hu

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2519

zbMATH Keywords

quantile regressionMarkov chainscenario analysiscombination forecast

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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