González-Rivera, Gloria; Lee, Tae-Hwy; Mishra, Santosh - In: Journal of Applied Econometrics 23 (2008) 5, pp. 585-606
We propose a new nonlinear time series model of expected returns based on the dynamics of the cross-sectional rank of realized returns. We model the joint dynamics of a sharp jump in the cross-sectional rank and the asset return by analyzing (1) the marginal probability distribution of a jump in...