CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns
Author:
Publisher
Wiley
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/jtsa.12006/fullpdf
Reference17 articles.
1. Analysis II
2. Modeling different kinds of spatial dependence in stock returns;Arnold;Empirical Economics,2011
3. Asgharian , H. Hess , W. Liu , L. 2011 A spatial analysis of international stock market linkages SSRN working paper http://dx.doi.org/10.2139/ssrn.1787109
4. Estimation of higher-order spatial autoregressive cross-section models with heteroskedastic disturbances;Badinger;Papers in Regional Science,2011
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