0504930 20240103222048.820190528235959.9 85062917077 000474317500001 10.1016/j.ijforecast.2019.01.005 13 s. cav_un_epca*02510060169-2070353 (2019)823-835Elsevier asset returns predictive distribution conditional probability cav_un_auth*0338770 Anatolyev Stanislav NHU-N Economics Institute Ekonomický ústav AV ČR, v. v. i. cav_un_auth*0242028 Baruník Jozef UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ K Ústav teorie informace a automatizace AV ČR, v. v. i. http://dx.doi.org/10.1016/j.ijforecast.2019.01.005 cav_un_auth*0350251 GA16-14179S GA ČR CZ We present a simple approach to the forecasting of conditional probability distributions of asset returns. We work with a parsimonious specification of ordered binary choice regressions that imposes a connection on sign predictability across different quantiles. The model forecasts the future conditional probability distributions of returns quite precisely when using a past indicator and a past volatility proxy as predictors. The direct benefits of the model are revealed in an empirical application to the 29 most liquid U.S. stocks. The forecast probability distribution is translated to significant economic gains in a simple trading strategy. Our approach can also be useful in many other applications in which conditional distribution forecasts are desired. AH 50000 50200 50202 2020 4 A sml hod 4as 4ah 20231122144023.3 RVO:67985998 RVO:67985556 http://hdl.handle.net/11104/0296463 1 Department of Econometrics UTIA-B 50202 ECONOMICS S 2 Article Materials Science Multidisciplinary|Mathematics Interdisciplinary Applications|Mechanics C MANAGEMENT|ECONOMICS 3.964 0.837 10.5 0.00706 1.443 5477 126 1.753 39.72 3.14 1128 Q1 2.333 129 Q1 77.99 69.9 Q1 Q4 1.63 Q1 82.44 2019 Soubory v repozitáři: affirmation_license agreement_0504930.pdf, anatolyev_IJoF_2019.pdf 85062917077 SCOPUS PUBMED 000474317500001 WOS cav_un_epca*0251006 International Journal of Forecasting 0169-2070 1872-8200 Roč. 35 č. 3 2019 823 835 Elsevier