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A new measure for idiosyncratic risk based on decomposition method
Lee, Meng-Horng; Hooy, Chee Wooi; Brooks, Robert - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-8
This paper introduces an alternate measure of idiosyncratic risk leveraged from the decomposition method to further …
Persistent link: https://www.econbiz.de/10014289732
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Decomposing densities of stock indexes returns
Sun, Yiguo (contributor) - 2004
Persistent link: https://www.econbiz.de/10003357872
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The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
macroeconomic time series. The coincident economic indicator is based on a multivariate trend-cycle decomposition model that …
Persistent link: https://www.econbiz.de/10011376640
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The time-varying effects of permanent and transistory shocks to real output
Keating, John William; Valcarcel, Victor J. - In: Macroeconomic dynamics 19 (2015) 3, pp. 477-507
Persistent link: https://www.econbiz.de/10011308634
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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 … 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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Modelling volatility by variance decomposition
Amado, Cristina; Teräsvirta, Timo - In: Journal of econometrics 175 (2013) 2, pp. 142-153
Persistent link: https://www.econbiz.de/10009764416
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Online spot volatility-estimation and decomposition with nonlinear market microstructure noise models
Dahlhaus, Rainer; Neddermeyer, Jan Christoph - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 174-212
Persistent link: https://www.econbiz.de/10010233600
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A variance spillover analysis without covariances : what do we miss?
Fengler, Matthias; Gisler, Katja I. M. - In: Journal of international money and finance 51 (2015), pp. 174-195
Persistent link: https://www.econbiz.de/10011475252
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On financial time series decompositions with applications to volatility
Doksum, Kjell A.; Miura, Ryozo; Yamauchi, Hiroaki - 1998
Persistent link: https://www.econbiz.de/10000990977
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Multifractional Properties of Stock Indices Decomposed by Filtering Their Pointwise Holder Regularity
Bianchi, Sergio - 2011
We propose a decomposition of financial time series into Gaussian subsequences characterized by a constant Hölder …
Persistent link: https://www.econbiz.de/10013134120