Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Wied, Dominik | - |
dc.date.accessioned | 2011-09-07T10:09:06Z | - |
dc.date.available | 2011-09-07T10:09:06Z | - |
dc.date.issued | 2011-09-07 | - |
dc.identifier.uri | http://hdl.handle.net/2003/29070 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-8757 | - |
dc.description.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. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB 823;30/2011 | en |
dc.subject | Brownian Bridge | en |
dc.subject | Fluctuation test | en |
dc.subject | GMM estimation | en |
dc.subject | Spatial dependence | en |
dc.subject | Stock returns | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | CUSUM-Type testing for changing parameters in a spatial autoregressive model of stock returns | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
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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