Modeling different kinds of spatial dependence in stock returns

被引：36

作者：

Arnold, Matthias ^{[1
]}

Stahlberg, Sebastian ^{[1
]}

Wied, Dominik ^{[1
]}

机构：

[1] TU Dortmund, Fak Stat, D-44221 Dortmund, Germany

来源：

EMPIRICAL ECONOMICS | 2013年 / 44卷 / 02期

关键词：

GMM estimation; Heteroscedasticity; Spatial dependence; Stock returns; Value at Risk;

D O I：

10.1007/s00181-011-0528-2

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

收藏

页码：761 / 774

页数：14

相关论文

共 23 条

[1]

Allen R. G., 1998, FAO Irrigation and Drainage Paper

[2] REGRESSION-ANALYSIS WHEN DEPENDENT VARIABLE IS TRUNCATED NORMAL [J].

AMEMIYA, T .

ECONOMETRICA, 1973, 41 (06) :997-1016

[3]

Asgharian H, 2011, SPATIAL ANAL INT STO

[4] BREAK DETECTION IN THE COVARIANCE STRUCTURE OF MULTIVARIATE TIME SERIES MODELS [J].

Aue, Alexander ;

Hormann, Siegfried ;

Horvath, Lajos ;

Reimherr, Matthew .

ANNALS OF STATISTICS, 2009, 37 (6B) :4046-4087

[5] Estimation of higher-order spatial autoregressive cross-section models with heteroscedastic disturbances [J].

Badinger, Harald ;

Egger, Peter .

PAPERS IN REGIONAL SCIENCE, 2011, 90 (01) :213-236

[6] Seemingly unrelated regressions with spatial error components [J].

Baltagi, Badi H. ;

Pirotte, Alain .

EMPIRICAL ECONOMICS, 2011, 40 (01) :5-49

[7] Firm value and geographic competitive advantage: Evidence from the US pharmaceutical industry [J].

Boasson, V ;

Boasson, E ;

MacPherson, A .

JOURNAL OF BUSINESS, 2005, 78 (06) :2465-2495

[8] The role of geographic location in the financial and innovation performance of publicly traded pharmaceutical companies: empirical evidence from the United States [J].

Boasson, V ;

MacPherson, A .

ENVIRONMENT AND PLANNING A, 2001, 33 (08) :1431-1444

[9]

Cressie N., 1993, Statistics for spatial data

[10]

de Jong RM, 2000, ECONOMETRICA, V68, P407