Showing 1 - 2 of 2
We propose a new nonlinear time series model of expected returns based on the dynamics of the cross-sectional rank of realized returns. We model the joint dynamics of a sharp jump in the cross-sectional rank and the asset return by analyzing (1) the marginal probability distribution of a jump in...
Persistent link: https://www.econbiz.de/10005764767
Persistent link: https://www.econbiz.de/10012189322