Multivariate Return Decomposition: Theory and Implications

DOI10.1080/07474938.2017.1348677zbMath1490.62309OpenAlexW3124544867MaRDI QIDQ5860929

Nikolay Gospodinov, Stanislav Anatolyev

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

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

Cites Work

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• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Unfolded GARCH models
• Copula Modeling: An Introduction for Practitioners
• Modeling Financial Return Dynamics via Decomposition
• Multi-Market Direction-of-Change Modeling Using Dependence Ratios
• The multivariate skew-normal distribution
• Non‐monotonic hazard functions and the autoregressive conditional duration model

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