Wied, Dominik2011-09-072011-09-072011-09-07http://hdl.handle.net/2003/2907010.17877/DE290R-8757The 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.enDiscussion Paper / SFB 823;30/2011Brownian BridgeFluctuation testGMM estimationSpatial dependenceStock returns310330620working paper