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CUSUM‐type testing for changing parameters in a spatial autoregressive model for stock returns
Author(s) -
Wied Dominik
Publication year - 2013
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/jtsa.12006
Subject(s) - cusum , autoregressive model , econometrics , mathematics , stock (firearms) , portfolio , type i and type ii errors , statistics , statistical hypothesis testing , economics , engineering , financial economics , mechanical engineering
The article 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 might allow for superior risk forecasts in portfolio management.

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