Modeling Financial Return Dynamics via Decomposition

DOI10.1198/jbes.2010.07017zbMath1197.91198OpenAlexW2257775877MaRDI QIDQ3160944

Nikolay Gospodinov, Stanislav Anatolyev

Publication date: 11 October 2010

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jbes.2010.07017

zbMATH Keywords

copulasabsolute returnsdirectional forecastingjoint predictive distributionstock returns predictability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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A new approach to risk-return trade-off dynamics via decomposition ⋮ Unfolded GARCH models ⋮ Robustness of binary choice models to conditional heteroscedasticity ⋮ Estimating the higher-order co-moment with non-Gaussian components and its application in portfolio selection ⋮ Timing in the presence of directional predictability: optimal stopping of skew Brownian motion ⋮ Density forecast of financial returns using decomposition and maximum entropy ⋮ Testing for a functional form of mean regression in a fully parametric environment ⋮ The risk return relationship: evidence from index returns and realised variances ⋮ Multivariate Return Decomposition: Theory and Implications

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