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 |
URI: | http://hdl.handle.net/2003/29070 http://dx.doi.org/10.17877/DE290R-8757 |
Issue Date: | 2011-09-07 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_3011_SFB823_Wied.pdf | DNB | 324.9 kB | Adobe PDF | View/Open |
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This item is protected by original copyright
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