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

2018 ◽  
Vol 37 (5) ◽  
pp. 604-626
Author(s):  
Xiaoxiao Tang ◽  
Feifang Hu ◽  
Peiming Wang
Keyword(s):  
Scenario Analysis ◽  
Equity Premium ◽  
Analysis Approach ◽  
Out Of Sample

scholarly journals Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?

2005 ◽  
Author(s):  
John Y. Campbell ◽  
Samuel Brodsky Thompson
Keyword(s):  
Equity Premium ◽  
Out Of Sample

Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy

2009 ◽  
Author(s):  
David Rapach ◽  
Jack Strauss ◽  
Guofu Zhou
Keyword(s):  
Equity Premium ◽  
Real Economy ◽  
The Real ◽  
Out Of Sample

scholarly journals Effects of malingering in self-report measures: A scenario analysis approach

2007 ◽  
Author(s):  
Massimiliano Pastore ◽  
Luigi Lombardi ◽  
Francesca Mereu
Keyword(s):  
Scenario Analysis ◽  
Self Report ◽  
Analysis Approach

scholarly journals Equity Premium Prediction with Structural Breaks: A Two-Stage Forecast Combination Approach

2019 ◽  
Vol 11 (12) ◽  
pp. 50
Author(s):  
Anwen Yin
Keyword(s):  
Structural Breaks ◽  
Equity Premium ◽  
Model Averaging ◽  
Forecast Combination ◽  
Two Stage ◽  
Explicit Theory ◽  
Out Of Sample ◽  
Combination Approach ◽  
Averaged Models ◽  
Averaged Model

This paper introduces a two-stage out-of-sample predictive model averaging approach to forecasting the U.S. market equity premium. In the first stage, we combine the break and stable specifications for each candidate model utilizing schemes such as Mallows weights to account for the presence of structural breaks. Next, we combine all previously averaged models by equal weights to address the issue of model uncertainty. Our empirical results show that the double-averaged model can deliver superior statistical and economic gains relative to not only the historical average but also the simple forecast combination when forecasting the equity premium. Moreover, our approach provides an explicit theory-based linkage between forecast combination and structural breaks which distinguishes this study from other closely related works.

scholarly journals Two Out-of-Sample Forecasting Models of the Equity Premium

2020 ◽  
Author(s):  
Thiago de Oliveira Souza
Keyword(s):  
Equity Premium ◽  
Forecasting Models ◽  
Out Of Sample

scholarly journals A quantile-based scenario analysis approach to biomass supply chain optimization under uncertainty

2017 ◽  
Vol 97 ◽  
pp. 114-123 ◽  
Author(s):  
David S. Zamar ◽  
Bhushan Gopaluni ◽  
Shahab Sokhansanj ◽  
Nathaniel K. Newlands
Keyword(s):  
Supply Chain ◽  
Scenario Analysis ◽  
Optimization Under Uncertainty ◽  
Analysis Approach ◽  
Supply Chain Optimization ◽  
Biomass Supply

scholarly journals Out-of-Sample Equity Premium Prediction: A Complete Subset Quantile Regression Approach

2013 ◽  
Author(s):  
Loukia Meligkotsidou ◽  
Ekaterini Panopoulou ◽  
Ioannis D. Vrontos ◽  
Spyridon D. Vrontos
Keyword(s):  
Quantile Regression ◽  
Equity Premium ◽  
Regression Approach ◽  
Out Of Sample
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