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

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dc.contributor.authorWied, Dominik
dc.date.accessioned2011-09-07T10:09:06Z
dc.date.available2011-09-07T10:09:06Z
dc.date.issued2011-09-07
dc.description.abstractThe 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.identifier.urihttp://hdl.handle.net/2003/29070
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-8757
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;30/2011en
dc.subjectBrownian Bridgeen
dc.subjectFluctuation testen
dc.subjectGMM estimationen
dc.subjectSpatial dependenceen
dc.subjectStock returnsen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleCUSUM-Type testing for changing parameters in a spatial autoregressive model of stock returnsen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

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Sonderforschungsbereich (SFB) 823