SFB 823 CUSUM - Type testing for changing parameters in a spatial autoregressive model of stock returns
نویسنده
چکیده
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. JEL Classification: C13, C31, C32, C51
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