Multivariate return decomposition: Theory and implications
Year of publication: |
2015
|
---|---|
Authors: | Anatolyev, Stanislav ; Gospodinov, Nikolay |
Publisher: |
Atlanta, GA : Federal Reserve Bank of Atlanta |
Subject: | multivariate decomposition | multiplicative components | volatility and direction models | copula | dependence |
Series: | Working Paper ; 2015-7 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 834034905 [GVK] hdl:10419/130621 [Handle] |
Classification: | C13 - Estimation ; C32 - Time-Series Models ; C51 - Model Construction and Estimation ; G12 - Asset Pricing |
Source: |
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Multivariate return decomposition : theory and implications
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Multivariate return decomposition : theory and implications
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