|Title:||CUSUM-Type testing for changing parameters in a spatial autoregressive model of stock returns|
|Abstract:||The paper suggests a CUSUM-type test for time-varying parameters in a recently proposed spatial autoregressive model for stock returns and derives its asymptotic null distribution as well as local power properties. As can be seen from Euro Stoxx 50 returns, a combination of spatial modelling and change point tests allows for superior risk forecasts in portfolio management.|
|Subject Headings:||Brownian Bridge|
|Appears in Collections:||Sonderforschungsbereich (SFB) 823|
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|DP_3011_SFB823_Wied.pdf||DNB||324.9 kB||Adobe PDF||View/Open|
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