Forecasting the equity premium: Do deep neural network models work?

Forecasting the equity premium: Do deep neural network models work?

This paper constructs deep neural network (DNN) models for equity-premium forecasting. We compare the forecasting performance of DNN models with that of ordinary least squares (OLS) and historical average (HA) models. The DNN models robustly work best and significantly outperform both OLS and HA mo...

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Bibliographic Details
Main Authors: Xianzheng Zhou, Hui Zhou, Huaigang Long
Format: Article
Language:English
Published: Modern Finance Institute 2023-08-01
Series:Modern Finance
Subjects:
equity premium
return predictability
deep neural network
asset allocation
forecasting performance
Online Access:https://mf-journal.com/article/view/2

Internet

https://mf-journal.com/article/view/2

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