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Multivariate return decomposition : theory and implications
Anatolyev, Stanislav; Gospodinov, Nikolaj - 2015
In this paper, we propose a model based on multivariate decomposition of multiplicative - absolute values and signs - components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...
Persistent link: https://www.econbiz.de/10011313230
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Multivariate return decomposition : theory and implications
Anatolyev, Stanislav; Gospodinov, Nikolaj - In: Econometric reviews 38 (2019) 5, pp. 487-508
Persistent link: https://www.econbiz.de/10012181325
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A multivariate innovations state space BeveridgeNelson decomposition
De Silva, Ashton; Hyndman, Rob J.; Snyder, Ralph D. - In: Economic modelling 26 (2009) 5, pp. 1067-1074
Persistent link: https://www.econbiz.de/10003871265
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New business creation and growth and its spatial and sectoral components : a multivariate analysis of key variables, relationships and processes and their policy implications
Mitra, Jay; Gleave, William - In: International journal of business and globalisation : IJBG 2 (2008) 3, pp. 227-243
Persistent link: https://www.econbiz.de/10003710949
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Markov-switching and the Beveridge-Nelson decomposition : has US output persistence changed since 1984?
Kim, Chang-jin - In: Journal of econometrics 146 (2008) 2, pp. 227-240
Persistent link: https://www.econbiz.de/10003782913
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Structural path decomposition
Wood, Richard; Lenzen, Manfred - In: Energy economics 31 (2009) 3, pp. 335-341
Persistent link: https://www.econbiz.de/10003851617
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Multiplicative decomposition and index number theory : an empirical application of the Sato-Vartia decomposition
Boer, Paul M. C. de - In: Economic systems research : journal of the … 21 (2009) 2, pp. 163-174
Persistent link: https://www.econbiz.de/10003886404
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Multiplicative decomposition and index number theory : an empirical application of the Sato-Vartia decomposition
Boer, Paul M. C. de (contributor) - 2007
Persistent link: https://www.econbiz.de/10003484092
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The permanent-transitory decomposition of the stock markets of the G7 countries : a multivariate approach
Shirvani, Hassan; Wilbratte, Barry - In: The quarterly review of economics and finance : journal … 47 (2007) 2, pp. 352-365
Persistent link: https://www.econbiz.de/10003492924
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Generalized forecast error variance decomposition for linear and nonlinear multivariate models
Lanne, Markku; Nyberg, Henri - 2014
Persistent link: https://www.econbiz.de/10010358974