Out-of-Sample Predictability of the Equity Risk Premium

Out-of-Sample Predictability of the Equity Risk Premium

A large set of macroeconomic variables have been suggested as equity risk premium predictors in the literature. Acknowledging the different predictability of the equity premium in expansions and recessions, this paper proposes an approach that combines equity premium forecasts from two-state regress...

Full description

Saved in:

Bibliographic Details
Main Authors:	Daniel de Almeida, Ana-Maria Fuertes, Luiz Koodi Hotta
Format:	Article
Language:	English
Published:	MDPI AG 2025-01-01
Series:	Mathematics
Subjects:	business cycles forecast combination technical indicators gradient boosting random forest
Online Access:	https://www.mdpi.com/2227-7390/13/2/257
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Efficient diagnosis of diabetes mellitus using an improved ensemble method
by: Blessing Oluwatobi Olorunfemi, et al.
Published: (2025-01-01)

Time Effort Prediction Of Agile Software Development Using Machine Learning Techniques
by: Muchamad Bachram Shidiq, et al.
Published: (2023-12-01)

A computational approach for prediction of viscosity of chemical compounds based on molecular structures
by: Sneha Das, et al.
Published: (2025-01-01)

Improving wheat yield prediction through variable selection using Support Vector Regression, Random Forest, and Extreme Gradient Boosting
by: Juan Carlos Moreno Sánchez, et al.
Published: (2025-03-01)

Leveraging machine learning to predict residential location choice: A comparative analysis
by: Vahid Noferesti, et al.
Published: (2025-03-01)

Machine Learning-Based Mobile Device Resale Price Estimator: A Predictive Analytics Approach
by: Umm-e-Laila Mehdi, et al.
Published: (2024-12-01)

Development and validation of a machine learning-based prediction model for hepatorenal syndrome in liver cirrhosis patients using MIMIC-IV and eICU databases
by: Fengwei Yao, et al.
Published: (2025-01-01)

Spatial analysis of hyperspectral images for detecting adulteration levels in bon-sorkh (Allium jesdianum L.) seeds: Application of voting classifiers
by: Golshid Fathi, et al.
Published: (2025-03-01)

PARALLEL ALGORITHMS OF RANDOM FORESTS FOR CLASSIFYING VERY LARGE DATASETS
by: Do Thanh Nghi, et al.
Published: (2013-06-01)

Clastic facies classification using machine learning-based algorithms: A case study from Rawat Basin, Sudan
by: Anas Mohamed Abaker Babai, et al.
Published: (2025-03-01)

Machine Learning-Driven Resilient Modulus Prediction for Flexible Pavements Across Mountainous and Other Regions
by: Rauf Ayesha, et al.
Published: (2025-01-01)

Feature Extraction using Histogram of Oriented Gradients and Moments with Random Forest Classification for Batik Pattern Detection
by: wafiq azizah, et al.
Published: (2025-01-01)

Plant community formation and species distribution pattern in relation to environmental variables in Endiras Natural Forest, northwest Ethiopia
by: Getinet Masresha, et al.
Published: (2024-12-01)

Predicting the risk of cardiovascular disease in adults exposed to heavy metals: Interpretable machine learning
by: Meiyue Shen, et al.
Published: (2025-01-01)

Sample intensity in ombrophilous open forest at Verde Para Sempre Extractive Reserve, Porto de Moz, PA
by: Fábio Miranda Leão, et al.
Published: (2017-12-01)

Nowcasting of Russian manufacturing output using business survey data
by: R. E. Gartvich
Published: (2023-12-01)

Customization of health insurance premiums using machine learning and explainable AI
by: Manohar Kapse, et al.
Published: (2025-06-01)

Assessing groundwater level variability in response to climate change: A case study of large plain areas
by: Haidi Wu, et al.
Published: (2025-02-01)

Short-term photovoltaic power prediction combination model considering seasonal characteristic and data window
by: ZHANG Jing, et al.
Published: (2025-01-01)

An intelligent lithology identification method for sandstone and mudstone strata and its applications: A case study of the Jurassic strata in the Lunnan area, Xinjiang, China
by: Ming CAI, et al.
Published: (2025-01-01)

Forecasting O3 and NO2 concentrations with spatiotemporally continuous coverage in southeastern China using a Machine learning approach
by: Zeyue Li, et al.
Published: (2025-01-01)

Using Futures Prices and Analysts’ Forecasts to Estimate Agricultural Commodity Risk Premiums
by: Gonzalo Cortazar, et al.
Published: (2025-01-01)

Machine learning for predicting severe dengue in Puerto Rico
by: Zachary J. Madewell, et al.
Published: (2025-02-01)

Early identification of dropouts during the special forces selection program
by: Ruud J. R. den Hartigh, et al.
Published: (2025-01-01)

Enhancing Solar Energy Prospects: Predicting Direct Normal Irradiance in Qinghai Province Using ALO-RF Modeling
by: MD Abdul Munnaf, et al.
Published: (2024-03-01)

Analysis of the Propagation Characteristics of Meteorological Drought to Hydrological Drought and Their Joint Effects on Low-Flow Drought Variability in the Oum Er Rbia Watershed, Morocco
by: Ismaguil Hanadé Houmma, et al.
Published: (2025-01-01)

Federated Learning Based on Kernel Local Differential Privacy and Low Gradient Sampling
by: Yi Chen, et al.
Published: (2025-01-01)

Relevant SMS Spam Feature Selection Using Wrapper Approach and XGBoost Algorithm
by: Diyari Jalal Mussa, et al.
Published: (2019-11-01)

Using correlation matrices in predicting airline performance
by: O. G. Feoktistova, et al.
Published: (2021-11-01)

Leveraging machine learning and rule extraction for enhanced transparency in emergency department length of stay prediction
by: Waqar A. Sulaiman, et al.
Published: (2025-02-01)

Optimization of bioactive compounds and sensory quality in thermosonicated black carrot juice: A study using response surface methodology, gradient boosting, and fuzzy logic
by: Seydi Yıkmış, et al.
Published: (2025-01-01)

Development and validation of a novel AI-derived index for predicting COPD medical costs in clinical practice
by: Guan-Heng Liu, et al.
Published: (2025-01-01)

Forecasting investments in fixed assets
by: A. M. Terekhov
Published: (2022-09-01)

Estimation of PM10 and PM2.5 Using Backscatter Coefficient of Ceilometer and Machine Learning
by: Bu-Yo Kim, et al.
Published: (2023-10-01)

Predicting hydropower generation: A comparative analysis of Machine learning models and optimization algorithms for enhanced forecasting accuracy and operational efficiency
by: Chunyang Wang, et al.
Published: (2025-03-01)

On the Adversarial Robustness of Decision Trees and a Symmetry Defense
by: Blerta Lindqvist
Published: (2025-01-01)

Analyzing Urban Parks for Older Adults’ Accessibility in Summer Using Gradient Boosting Decision Trees: A Case Study from Tianjin, China
by: Haobo Zhao, et al.
Published: (2025-01-01)

Comparing Soil pH Mapping from Multi-Temporal PlanetScope and Sentinel-2 Data Across Land Use Types
by: Ziyu Wang, et al.
Published: (2025-01-01)

Exploring the Links Between Forest Stewardship Council Certification and Biodiversity Outcomes at a Global Level
by: Parag Kadam, et al.
Published: (2025-01-01)

METHODICAL ASPECTS OF THE INDUSTRIAL BUSINESS VALUE MANAGEMENT
by: Y. Vorontsova
Published: (2018-11-01)