Modeling different kinds of spatial dependence in stock returns

Matthias Arnold, Sebastian Stahlberg and Dominik Wied

Empirical Economics, 2013, vol. 44, issue 2, 774 pages

Abstract: 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

Keywords: GMM estimation; Heteroscedasticity; Spatial dependence; Stock returns; Value at Risk; C13; C51; G12 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (30)

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DOI: 10.1007/s00181-011-0528-2

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