27 August 2014 - This is a Blog update

SYRTO Working Paper Series: A Quantile Regression Approach to Equity Premium Prediction

Loukia Meligkotsidou, Ekaterini Panopoulou, Ioannis D.Vrontos, Spyridon D. Vrontos have a new SYRTO Working Paper out.


In their work, the authors propose a quantile regression approach to equity premium forecasting. Their approach using a time-varying weighting scheme delivers statistically and economically signi…cant out-of-sample forecasts relative to both the historical average benchmark and the combined predictive mean regression modeling approach.

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