Multivariate return decomposition: theory and implications

DOI10.1080/07474938.2017.1348677MaRDI QIDQ5860929zbMATH OpenOpenAlexFDO

Authors Stanislav Anatolyev, Nikolay Gospodinov

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/130621

zbMATH Keywords

copuladependencemultivariate decompositionmultiplicative componentsvolatility and direction models

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
• scientific article; zbMATH DE number 1241609 (Why is no real title available?)
• Copula modeling: An introduction for practitioners
• Handbook of economic forecasting. Volume 2. 2 volume set 2A-2B
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Modeling financial return dynamics via decomposition
• Multi-market direction-of-change modeling using dependence ratios
• Non‐monotonic hazard functions and the autoregressive conditional duration model
• The multivariate skew-normal distribution
• Unfolded GARCH models

Cited in

(4)

• A multifractal decomposition according to rate of returns
• Modeling financial return dynamics via decomposition
• Density forecast of financial returns using decomposition and maximum entropy
• MULTIVARIATE DISTRIBUTIONS FOR FINANCIAL RETURNS

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