Multivariate return decomposition: theory and implications
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Other versions of this item:
- Stanislav Anatolyev & Nikolay Gospodinov, 2019. "Multivariate Return Decomposition: Theory and Implications," Econometric Reviews, Taylor & Francis Journals, vol. 38(5), pages 487-508, May.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2017.
"Further evidence on bear market predictability: The role of the external finance premium,"
International Review of Economics & Finance,
Elsevier, vol. 50(C), pages 106-121.
- Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2013. "Further evidence on bear market predictability: The role of the external finance premium," MPRA Paper 49093, University Library of Munich, Germany.
- Nikolay Gospodinov, 2017. "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper 2017-11, Federal Reserve Bank of Atlanta.
More about this item
Keywordsmultivariate decomposition; multiplicative components; volatility and direction models; copula; dependence;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2015-11-01 (Econometrics)
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