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.