{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,12]],"date-time":"2026-03-12T13:24:41Z","timestamp":1773321881343,"version":"3.50.1"},"reference-count":12,"publisher":"Wiley","issue":"5","license":[{"start":{"date-parts":[[2008,8,19]],"date-time":"2008-08-19T00:00:00Z","timestamp":1219104000000},"content-version":"vor","delay-in-days":18,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2008,8]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>We propose a new nonlinear time series model of expected returns based on the dynamics of the cross\u2010sectional rank of realized returns. We model the <jats:italic>joint<\/jats:italic> dynamics of a sharp jump in the cross\u2010sectional rank and the asset return by analyzing (1) the <jats:italic>marginal<\/jats:italic> probability distribution of a jump in the cross\u2010sectional rank within the context of a duration model, and (2) the probability distribution of the asset return <jats:italic>conditional<\/jats:italic> on a jump, for which we specify different dynamics depending upon whether or not a jump has taken place. As a result, the expected returns are generated by a mixture of normal distributions weighted by the probability of jumping. The model is estimated for the weekly returns of the constituents of the SP500 index from 1990 to 2000, and its performance is assessed in an out\u2010of\u2010sample exercise from 2001 to 2005. Based on the one\u2010step\u2010ahead forecast of the mixture model we propose a trading rule, which is evaluated according to several forecast evaluation criteria and compared to 18 alternative trading rules. We find that the proposed trading strategy is the dominant rule by providing superior risk\u2010adjusted mean trading returns and accurate value\u2010at\u2010risk forecasts. Copyright \u00a9 2008 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.1015","type":"journal-article","created":{"date-parts":[[2008,8,20]],"date-time":"2008-08-20T04:22:43Z","timestamp":1219206163000},"page":"585-606","source":"Crossref","is-referenced-by-count":6,"title":["Jumps in cross\u2010sectional rank and expected returns: a mixture model"],"prefix":"10.1002","volume":"23","author":[{"given":"Gloria","family":"Gonz\u00e1lez\u2010Rivera","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Tae\u2010Hwy","family":"Lee","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Santosh","family":"Mishra","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2008,8,19]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.985"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911990"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.2307\/2999632"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/341872"},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500105000000063"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466603196089"},{"key":"e_1_2_6_8_1","volume-title":"Value at Risk","author":"Jorion P","year":"2000"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913643"},{"key":"e_1_2_6_10_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1994.10476870"},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00163"},{"key":"e_1_2_6_12_1","unstructured":"WangJ.2001.Generating daily changes in market variables using a multivariate mixture of normal distributions. InProceedings of the 2001 Winter Simulation Conference Peters BA Smith JS Medeiros DJ Roher MW (eds);283\u2013289."},{"key":"e_1_2_6_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00152"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.1015","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.1015","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,18]],"date-time":"2023-10-18T04:07:02Z","timestamp":1697602022000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.1015"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2008,8]]},"references-count":12,"journal-issue":{"issue":"5","published-print":{"date-parts":[[2008,8]]}},"alternative-id":["10.1002\/jae.1015"],"URL":"https:\/\/doi.org\/10.1002\/jae.1015","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2008,8]]}}}