We propose a quantile regression approach to equity premium forecasting. Robust point forecasts are generated by both fixed and time-varying weighting schemes, thus exploiting the entire distributional information associated with each predictor. Further gains are achieved by incorporating the...

This paper extends the complete subset linear regression framework to a quantile regression setting. We employ complete subset combinations of quantile forecasts in order to construct robust and accurate equity premium predictions. Our recursive algorithm that selects, in real time, the best...

The importance of assessing and estimating the impact of the COVID-19 pandemic on financial markets and economic activity has attracted the interest of researchers and practitioners in recent years. The proposed study aims to explore the pandemic's impact on the economic activity of six Euro...