We propose a parsimonious semiparametric method for macroeconomic forecasting during episodes of sudden changes. Based …

estimator and discuss bias-corrected point and density forecasting by simulation. The methods are applied to stock market data …

of macroeconomic predictors and technical indicators with the goal of forecasting the S&P 500 equity risk premium. To … illustrate the merit of the proposed approach, we extend the mean-based equity premium forecasting into the conditional quantile … systematic forecasting power. Third, different predictors are identified as important when considering lower, central and upper …