CUSUM-Type testing for changing parameters in a spatial autoregressive model of stock returns
Loading...
Date
2011-09-07
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
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.
Description
Table of contents
Keywords
Brownian Bridge, Fluctuation test, GMM estimation, Spatial dependence, Stock returns