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Multi-Market Direction-of-Change Modeling Using Dependence Ratios

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Author Info
Stanislav Anatolyev (New Economic School, Moscow)

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Abstract

We consider a multivariate dynamic model for the joint distribution of binary outcomes associated with directions-of-change for several markets or assets. The marginal distribution of each binary outcome follows a dynamic binary choice model, while the association structure is parameterized via possibly time varying dependence ratios. We illustrate the technique using daily stock index returns from three European markets, from three Baltic markets, and from two Chinese exchanges.

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File URL: http://www.bepress.com/cgi/viewcontent.cgi?article=1532&context=snde
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Publisher Info
Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 13 (2009)
Issue (Month): 1 ()
Pages:
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Handle: RePEc:bpj:sndecm:v:13:y:2009:i:1:n:5

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Web page: http://www.bepress.com/snde

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Related research
Keywords: direction-of-change; binary choice; dependence ratio; stock returns;

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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This page was last updated on 2009-12-30.

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