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 …

. These seven scripts contain the Dynamic Conditional Correlation (DCC) framework, Instantaneous Frequency Forecasting (IFF …

forecasting performances across most of the forecasting horizons. Moreover, we found that models using the VRP as an additional … forecasting performances were not statistically different for most models, and only the Principal Component Regression (PCR) and … the Partial least squares (PLS) regression were consistently excluded from the set of best forecasting models. These …

We provide a wind power forecasting methodology that exploits many of the actual data's statistical features, in …