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  5. Out-of-sample equity premium prediction:a scenario analysis approach

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

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：liuyansua
【摘 要】
：
We propose a method with a single predictor for equity premium prediction,in which three scenarios are defined as low,average,and high return scenarios respectively,with their occurrence assumed to fo
【作 者】
：
Xiaoxiao Tang Feifang Hu Peiming Wang 
【机 构】
：
Washington University in St.Louis,MO,63130,United States
【出 处】
：
上海交通大学
【发表日期】
：
2016年4期
【关键词】
：
Combination forecast equity premium Markov chain quantile regression scenario an 
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　　We propose a method with a single predictor for equity premium prediction,in which three scenarios are defined as low,average,and high return scenarios respectively,with their occurrence assumed to follow a Markov chain,and equity premium forecast is determined by combining the predicted expected excess returns for the three scenarios with the estimated probability that they will occur.
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