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Multivariate return decomposition : theory and implications
Anatolyev, Stanislav; Gospodinov, Nikolaj - 2015
directions are linked through a 2m-dimensional copula. The approach is detailed in the case of a bivariate decomposition. We …
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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Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks
Joslin, Scott - 2014
This paper quantifies how variation in real economic activity and inflation in the U.S. influenced the market prices of level, slope, and curvature risks in U.S. Treasury markets. We develop a novel arbitrage-free dynamic term structure model in which bond investment decisions are influenced by...
Persistent link: https://www.econbiz.de/10013063563
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A Collection on the Versatility and Predictive Power of Survey Expectations Data
Guzman, Giselle - 2014
This collection of papers analyzes the versatility and predictive power of survey expectations data in asset pricing and macroeconomic forecasting. The first paper, Using Sentiment Surveys to Predict GDP Growth and Stock Returns sheds new light on the question of whether or not sentiment...
Persistent link: https://www.econbiz.de/10013055949
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A Latent Factor Model of Multivariate Conditional Heteroscedasticity
Aguilar, Mike - 2010
This paper examines the joint dynamics of a system of asset returns by describing and implementing a factor multivariate stochastic volatility (factor MSV) model. The foundation for the model discussed here is the work of Doz and Renault (2006). Despite its attractive design, that model has not...
Persistent link: https://www.econbiz.de/10013150665
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Modeling and Forecasting a Firm's Financial Statements with a VAR-VECM Model
Doornik, Bernardus Ferdinandus Nazar Van; de Medeiros, … - 2009
This paper details efforts at developing and estimating a Vector Autoregressive (VAR) econometric model representative of the financial statements of a firm. Although the model can be generalized to represent the financial statements of any firm, this work was carried out as a case study, where...
Persistent link: https://www.econbiz.de/10014211147
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Multivariate Return Decomposition : Theory and Implications
Anatolyev, Stanislav - 2017
directions are linked through a 2m-dimensional copula. The approach is detailed in the case of a bivariate decomposition. We …
Persistent link: https://www.econbiz.de/10012948702
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A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010
representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on dependence structures …
Persistent link: https://www.econbiz.de/10011380135
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Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Nguyen, Hoang; Virbickaite, Audrone - 2022
propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship … find that inflation/interest rate, uncertainty and liquidity factors are the main drivers of the long-run co-dependence. We … show that investment portfolios, based on the proposed DSM copula model, are more accurate and produce better economic …
Persistent link: https://www.econbiz.de/10013258038
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Price Discovery in a Continuous-Time Setting
Fruet Dias, Gustavo - 2020
We formulate a continuous-time price discovery model and investigate how the standard price discovery measures vary with respect to the sampling interval. We find that the component share measure is invariant to the sampling interval, and hence discrete-sampled prices suffice to identify the...
Persistent link: https://www.econbiz.de/10012855202