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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Modern Finance Institute
2023-08-01
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| Series: | Modern Finance |
| Subjects: | |
| Online Access: | https://mf-journal.com/article/view/2 |