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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

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

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

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

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

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

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

Modelling the Naira exchange rate dependence using static and time-varying copula

Katata, Kabir - In: CBN journal of applied statistics 14 (2023) 2, pp. 41-72

(Gaussian copula) but on copula models that can capture asymmetry and tail dependence, such as Student t, SJC, and Gumbel …This paper examines the dependence structure of different currencies versus the Nigerian Naira using constant and time …-varying copula. Daily Naira/USD, Naira/Yuan, Naira/Pound, and Naira/Euro exchange rates from 23 December 2011 to 12 May 2020 were …

Persistent link: https://www.econbiz.de/10015393778

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

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