CUSUM-Type testing for changing parameters in a spatial autoregressive model of stock returns

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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

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