Multi-Market Direction-of-Change Modeling Using Dependence Ratios

Stanislav Anatolyev ()

Studies in Nonlinear Dynamics & Econometrics, 2009, vol. 13, issue 1

Abstract: We consider a multivariate dynamic model for the joint distribution of binary outcomes associated with directions-of-change for several markets or assets. The marginal distribution of each binary outcome follows a dynamic binary choice model, while the association structure is parameterized via possibly time varying dependence ratios. We illustrate the technique using daily stock index returns from three European markets, from three Baltic markets, and from two Chinese exchanges.

Keywords: direction-of-change; binary choice; dependence ratio; stock returns (search for similar items in EconPapers)
JEL-codes: C32 C51 (search for similar items in EconPapers)
Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:bpj:sndecm:v:13:y:2009:i:1:n:5

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