Authors: Wied, Dominik
Title: CUSUM-Type testing for changing parameters in a spatial autoregressive model of stock returns
Language (ISO): en
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
Fluctuation test
GMM estimation
Spatial dependence
Stock returns
Issue Date: 2011-09-07
Appears in Collections:Sonderforschungsbereich (SFB) 823

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