Spatial dependence in stock returns : local normalization and VaR forecasts
Thilo A. Schmitt; Rudi Schäfer; Dominik Wied; Thomas Guhr
| Year of publication: |
May 2016
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|---|---|
| Authors: | Schmitt, Thilo A. ; Schäfer, Rudi ; Wied, Dominik ; Guhr, Thomas |
| Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 50.2016, 3, p. 1091-1109
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| Subject: | GARCH | One-factor model | Power mapping | Spatial autoregressive model | ARCH-Modell | ARCH model | Theorie | Theory | Prognoseverfahren | Forecasting model | Autokorrelation | Autocorrelation | Räumliche Interaktion | Spatial interaction | Regionalökonomik | Regional economics | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-015-0947-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011481381