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Modeling Financial Return Dynamics via Decomposition

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  • Anatolyev, Stanislav
  • Gospodinov, Nikolay

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File URL: http://pubs.amstat.org/doi/abs/10.1198/jbes.2010.07017
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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 28 (2010)
Issue (Month): 2 ()
Pages: 232-245

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Handle: RePEc:bes:jnlbes:v:28:i:2:y:2010:p:232-245

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Cited by:
  1. Thomas Bury, 2013. "Predicting trend reversals using market instantaneous state," Papers 1310.8169, arXiv.org, revised Mar 2014.
  2. Candelon Bertrand & Ahmed Jameel & Straetmans Stefan, 2012. "Predicting and Capitalizing on Stock Market Bears in the U.S," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  3. Nyberg, Henri, 2013. "Predicting bear and bull stock markets with dynamic binary time series models," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3351-3363.
  4. Liu, Xiaochun, 2011. "Modeling the time-varying skewness via decomposition for out-of-sample forecast," MPRA Paper 41248, University Library of Munich, Germany.
  5. Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers w0136, Center for Economic and Financial Research (CEFIR).
  6. Nyberg, Henri, 2011. "Forecasting the direction of the US stock market with dynamic binary probit models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 561-578, April.

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