Multivariate return decomposition: theory and implications
Author
Abstract
Suggested Citation
Download full text from publisher
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
- Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, December.
- Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2007. "A Model for Multivariate Non-negative Valued Processes in Financial Econometrics," Econometrics Working Papers Archive wp2007_16, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Scott Joslin & Marcel Priebsch & Kenneth J. Singleton, 2014. "Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks," Journal of Finance, American Finance Association, vol. 69(3), pages 1197-1233, June.
- John H. Cochrane & Monika Piazzesi, 2005.
"Bond Risk Premia,"
American Economic Review, American Economic Association, vol. 95(1), pages 138-160, March.
- John H. Cochrane & Monika Piazzesi, 2002. "Bond Risk Premia," NBER Working Papers 9178, National Bureau of Economic Research, Inc.
- Chernov, Mikhail & Mueller, Philippe, 2012.
"The term structure of inflation expectations,"
Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
- Chernov, Mikhail & Mueller, Philippe, 2008. "The Term Structure of Inflation Expectations," CEPR Discussion Papers 6809, C.E.P.R. Discussion Papers.
- Philippe Mueller & Mikhail Chernov, 2008. "The Term Structure of Inflation Expectations," 2008 Meeting Papers 346, Society for Economic Dynamics.
- Nyberg, Henri, 2014. "A Bivariate Autoregressive Probit Model: Business Cycle Linkages And Transmission Of Recession Probabilities," Macroeconomic Dynamics, Cambridge University Press, vol. 18(4), pages 838-862, June.
- Sydney C. Ludvigson & Serena Ng, 2009.
"Macro Factors in Bond Risk Premia,"
Review of Financial Studies, Society for Financial Studies, vol. 22(12), pages 5027-5067, December.
- Sydeny C. Ludvigson & Serena Ng, 2005. "Macro Factors in Bond Risk Premia," NBER Working Papers 11703, National Bureau of Economic Research, Inc.
- Anna Cieslak & Pavol Povala, 2015. "Expected Returns in Treasury Bonds," Review of Financial Studies, Society for Financial Studies, vol. 28(10), pages 2859-2901.
- Anatolyev, Stanislav & Gospodinov, Nikolay, 2010. "Modeling Financial Return Dynamics via Decomposition," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 232-245.
- Liu, Xiaochun & Luger, Richard, 2015. "Unfolded GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 58(C), pages 186-217.
- 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.
- G. Elliott & C. Granger & A. Timmermann (ed.), 2013. "Handbook of Economic Forecasting," Handbook of Economic Forecasting, Elsevier, edition 1, volume 2, number 2.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Stanislav Anatolyev, 2021. "Directional news impact curve," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 94-107, January.
- Nikolay Gospodinov, 2017. "Asset Co-movements: Features and Challenges," FRB Atlanta Working Paper 2017-11, Federal Reserve Bank of Atlanta.
- 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.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Michael D. Bauer & Glenn D. Rudebusch, 2020.
"Interest Rates under Falling Stars,"
American Economic Review, American Economic Association, vol. 110(5), pages 1316-1354, May.
- Michael D. Bauer & Glenn D. Rudebusch, 2017. "Interest Rates Under Falling Stars," Working Paper Series 2017-16, Federal Reserve Bank of San Francisco.
- Michael D. Bauer & Glenn D. Rudebusch, 2017. "Interest Rates Under Falling Stars," CESifo Working Paper Series 6571, CESifo.
- Rui Liu, 2019. "Forecasting Bond Risk Premia with Unspanned Macroeconomic Information," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-62, March.
- Doshi, Hitesh & Jacobs, Kris & Liu, Rui, 2018. "Macroeconomic determinants of the term structure: Long-run and short-run dynamics," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 99-122.
- Liu, Yan & Wu, Jing Cynthia, 2021. "Reconstructing the yield curve," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1395-1425.
- Michael D. Bauer & James D. Hamilton, 2018.
"Robust Bond Risk Premia,"
Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 399-448.
- Michael D. Bauer & James D. Hamilton, 2015. "Robust Bond Risk Premia," CESifo Working Paper Series 5541, CESifo.
- Michael D. Bauer & James D. Hamilton, 2017. "Robust Bond Risk Premia," NBER Working Papers 23480, National Bureau of Economic Research, Inc.
- Michael D. Bauer & James D. Hamilton, 2015. "Robust bond risk premia," Working Paper Series 2015-15, Federal Reserve Bank of San Francisco.
- Zhang, Yugui & Zhu, Jie & Zhu, Xiaoneng, 2021. "Global bond risk premia under falling stars," Finance Research Letters, Elsevier, vol. 42(C).
- Guo, Bin & Huang, Fuzhe & Li, Kai, 2020. "Time to build and bond risk premia," Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
- Chiarella, Carl & Hsiao, Chih-Ying & Tô, Thuy-Duong, 2016.
"Stochastic correlation and risk premia in term structure models,"
Journal of Empirical Finance, Elsevier, vol. 37(C), pages 59-78.
- Carl Chiarella & Chih-Ying Hsiao & Thuy-Duong To, 2011. "Stochastic Correlation and Risk Premia in Term Structure Models," Research Paper Series 298, Quantitative Finance Research Centre, University of Technology, Sydney.
- Guo, Bin & Huang, Fuzhe & Li, Kai, 2022. "Time to build and bond risk premia," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
- Samuel G Hanson & David O Lucca & Jonathan H Wright, 2021.
"Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates,"
The Quarterly Journal of Economics, Oxford University Press, vol. 136(3), pages 1719-1781.
- Samuel Hanson & David O. Lucca & Jonathan H. Wright, 2017. "Rate-Amplifying Demand and the Excess Sensitivity of Long-Term Rates," Staff Reports 810, Federal Reserve Bank of New York.
- Eriksen, Jonas N., 2017.
"Expected Business Conditions and Bond Risk Premia,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(4), pages 1667-1703, August.
- Jonas Nygaard Eriksen, 2015. "Expected Business Conditions and Bond Risk Premia," CREATES Research Papers 2015-44, Department of Economics and Business Economics, Aarhus University.
- Bekaert, Geert & Engstrom, Eric & Ermolov, Andrey, 2021.
"Macro risks and the term structure of interest rates,"
Journal of Financial Economics, Elsevier, vol. 141(2), pages 479-504.
- Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2016. "Macro Risks and the Term Structure of Interest Rates," NBER Working Papers 22839, National Bureau of Economic Research, Inc.
- Geert Bekaert & Eric C. Engstrom & Andrey Ermolov, 2017. "Macro Risks and the Term Structure of Interest Rates," Finance and Economics Discussion Series 2017-058, Board of Governors of the Federal Reserve System (U.S.).
- David Sraer & Valentin Haddad, 2016.
"The Banking View of Bond Risk Premia,"
2016 Meeting Papers
814, Society for Economic Dynamics.
- Valentin Haddad & David A. Sraer, 2019. "The Banking View of Bond Risk Premia," NBER Working Papers 26369, National Bureau of Economic Research, Inc.
- Riccardo Rebonato, 2017. "Affine Models With Stochastic Market Price Of Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-38, June.
- Kučera, Adam, 2020. "Identification of triggers of U.S. yield curve movements," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Valentin Haddad & Serhiy Kozak & Shrihari Santosh, 2017. "Predicting Relative Returns," NBER Working Papers 23886, National Bureau of Economic Research, Inc.
- Petar Sabtchevsky & Paul Whelan & Andrea Vedolin & Philippe Mueller, 2017. "Variance Risk Premia on Stocks and Bonds," 2017 Meeting Papers 1161, Society for Economic Dynamics.
- Francisco Barillas & Kristoffer Nimark, 2019.
"Speculation and the Bond Market: An Empirical No-Arbitrage Framework,"
Management Science, INFORMS, vol. 65(9), pages 4179-4203, September.
- Barillas, Francisco & Nimark, Kristoffer P, 2015. "Speculation and the Bond Market: An Empirical No-arbitrage Framework," CEPR Discussion Papers 10892, C.E.P.R. Discussion Papers.
- Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
- Mirco Rubin & Dario Ruzzi, 2020. "Equity Tail Risk in the Treasury Bond Market," Papers 2007.05933, arXiv.org.
More about this item
Keywords
multivariate decomposition; multiplicative components; volatility and direction models; copula; dependence;All these keywords.
JEL classification:
- 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 fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2015-11-01 (Econometrics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedawp:2015-07. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: . General contact details of provider: https://edirc.repec.org/data/frbatus.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Rob Sarwark (email available below). General contact details of provider: https://edirc.repec.org/data/frbatus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.