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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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A Copula-Based Autoregressive Conditional Dependence Model of International Stock Markets
Goorbergh, Rob van den - de Nederlandsche Bank - 2004
market pairs show high levels of dependence persistence. The performance of the copula-based approach is compared with Engle …This paper investigates the level and development of cross-country stock market dependence using daily returns on stock … modelling the dependence between markets using parametric families of copulas which offer various alternatives to the commonly …
Persistent link: https://www.econbiz.de/10005101799
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A Meta-Distribution for Non-Stationary Samples
Guégan, Dominique - School of Economics and Management, University of Aarhus - 2009
In this paper, we focus on the building of an invariant distribution function associated to a non-stationary sample. After discussing some specific problems encountered by non-stationarity inside samples like the "spurious" long memory effect, we build a sequence of stationary processes...
Persistent link: https://www.econbiz.de/10005025509
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Non-stationarity and meta-distribution.
Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008
In this paper we deal with the problem of non-stationarity encountered in a lot of data sets, mainly in financial and economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. Existence of non-stationarity involves spurious behaviors...
Persistent link: https://www.econbiz.de/10005510618
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Global and local stationary modelling in finance : theory and empirical evidence.
Guégan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007
In this paper we deal with the problem of non-stationarity encountered in a lot of data sets coming from existence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. We study the problem caused by these non stationarities on the estimation of the sample autocorrelation...
Persistent link: https://www.econbiz.de/10005670891
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Estimation of an Adaptive Stock Market Model with Heterogeneous Agents
Amilon, Henrik - 2005
Standard economic models based on rational expectations and homogeneity have problems explaining the complex and volatile nature of financial markets. Recently, boundedly rational and heterogeneous agent models have been developed and simulated returns are found to exhibit various stylized...
Persistent link: https://www.econbiz.de/10010321274
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Simulating Fundamental Analysis of a Firm Using a VECX Model
de Medeiros, Otavio Ribeiro - 2011
The study aims at simulating and forecasting a company's stock returns and prices by a fundamentalist analysis process based on a Vector Error Correction with Exogenous Variables (VECX) econometric model. To achieve this, we selected relevant fundamentalist indicators and specified a model...
Persistent link: https://www.econbiz.de/10013129177
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Chilean Stock Market Expected Return Analysis : A Variance Decomposition
Valdivieso, Ercos - 2010
The main objective of this paper is to quantify the effect of expectation changes about discount rate and dividend growth rate over the Chilean market portfolio returns. The model applied was taken from the works of Campbell and Shiller (1988, 1988a), Campbell (1991) and Campbell and Vuolteenaho...
Persistent link: https://www.econbiz.de/10013137822
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How You Estimate the Yield Curve Matters!
Fichtner, Luiz Paulo - 2013
We evaluate a two-factor Cox et al. (1985a,b) model using Euribor zero-coupon yields. We estimate this model using a state-space framework, where we sum a log-likelihood function of the state vector dynamics to a log-likelihood function of cross-section pricing errors. We introduce a...
Persistent link: https://www.econbiz.de/10013089588