Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/130621
Authors: 
Anatolyev, Stanislav
Gospodinov, Nikolay
Year of Publication: 
2015
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2015-7
Abstract: 
In this paper, we propose a model based on multivariate decomposition of multiplicative - absolute values and signs - components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional copula. The approach is detailed in the case of a bivariate decomposition. We outline the construction of the likelihood function and the computation of different conditional measures. The finite-sample properties of the maximum likelihood estimator are assessed by simulation. An application to predicting bond returns illustrates the usefulness of the proposed method.
Subjects: 
multivariate decomposition
multiplicative components
volatility and direction models
copula
dependence
JEL: 
C13
C32
C51
G12
Document Type: 
Working Paper

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