Equity premium prediction: keep it sophisticatedly simple

Equity premium prediction: keep it sophisticatedly simple

Following the keep-it-sophisticatedly-simple principle, KISS, we propose using the averaging window approach to forecast the market equity premium in unstable environments. First, the estimation methodology of averaging window is a theoretically justified method robust to uncertainties on structural...

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Bibliographic Details
Main Author: Anwen Yin
Format: Article
Language:English
Published: AIMS Press 2021-04-01
Series:Quantitative Finance and Economics
Subjects:
equity premium
forecast combination
structural break
averaging window
Online Access:https://www.aimspress.com/article/doi/10.3934/QFE.2021012?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/QFE.2021012?viewType=HTML

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