How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?
历史数据对预测股票收益长期分布有多大用处？
We provide an approach to forecasting the long-run (unconditional) distribution of equity returns making optimal use of historical data in the presence of structural breaks. Our focus is on learning about breaks in real time and assessing their impact on out-of-sample density forecasts. Forecasts use a probability-weighted average of submodels, each of which is estimated over a different history of data. The empirical results strongly reject ignoring structural change or…