Modeling different kinds of spatial dependence in stock returns

The paper modifies previously suggested GMM approaches to spatial autoregression in stock returns. Our model incorporates global dependencies, dependencies inside industrial branches and local dependencies. As can be seen from Euro Stoxx 50 returns, this combination of spatial modeling and finance allows for superior risk forecasts in portfolio management. Copyright Springer-Verlag 2013

MoreLess

Year of publication:	2013
Authors:	Arnold, Matthias ; Stahlberg, Sebastian ; Wied, Dominik
Published in:	Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 44.2013, 2, p. 761-774
Publisher:	Department of Economics and Finance Research and Teaching
Subject:	GMM estimation \| Heteroscedasticity \| Spatial dependence \| Stock returns \| Value at Risk

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010845932