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

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  • Anatolyev Stanislav

    (New Economic School, Moscow)

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.

Suggested Citation

  • Anatolyev Stanislav, 2009. "Multi-Market Direction-of-Change Modeling Using Dependence Ratios," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(1), pages 1-24, March.
    • Handle: RePEc:bpj:sndecm:v:13:y:2009:i:1:n:5
    DOI: 10.2202/1558-3708.1532
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    Cited by:

    1. Stanislav Anatolyev, 2021. "Directional news impact curve," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 94-107, January.
    2. Nyberg, Henri & Pönkä, Harri, 2016. "International sign predictability of stock returns: The role of the United States," Economic Modelling, Elsevier, vol. 58(C), pages 323-338.
    3. Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers w0136, New Economic School (NES).
    4. Stanislav Anatolyev & Nikolay Gospodinov, 2019. "Multivariate Return Decomposition: Theory and Implications," Econometric Reviews, Taylor & Francis Journals, vol. 38(5), pages 487-508, May.
    5. Kajal Lahiri & Liu Yang, 2023. "Predicting binary outcomes based on the pair-copula construction," Empirical Economics, Springer, vol. 64(6), pages 3089-3119, June.
    6. Lahiri Kajal & Yang Liu, 2016. "A non-linear forecast combination procedure for binary outcomes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 421-440, September.
    7. Lahiri, Kajal & Yang, Liu, 2013. "Forecasting Binary Outcomes," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1025-1106, Elsevier.
    8. Stanislav Anatolyev, 2013. "Objects of nonstructural time series modeling (in Russian)," Quantile, Quantile, issue 11, pages 1-12, December.

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