Modeling different kinds of spatial dependence in stock returns

被引：35
|
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 50 条
  • [11] Stock Returns and Long-range Dependence
    Odonkor, Alexander Ayertey
    Ababio, Emmanuel Nkrumah
    Amoah-Darkwah, Emmanuel
    Andoh, Richard
    GLOBAL BUSINESS REVIEW, 2022, 23 (01) : 37 - 47
  • [12] Dependence of Stock Returns in Bull and Bear Markets
    Dobric, Jadran
    Frahm, Gabriel
    Schmid, Friedrich
    DEPENDENCE MODELING, 2013, 1 (01): : 94 - 110
  • [13] Long-term dependence in stock returns
    Barkoulas, JT
    Baum, CF
    ECONOMICS LETTERS, 1996, 53 (03) : 253 - 259
  • [14] Exploratory Analysis and Modeling of Stock Returns
    Noguchi, Kimihiro
    Aue, Alexander
    Burvian, Prabir
    JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS, 2016, 25 (02) : 363 - 381
  • [15] Extreme dependence in investor attention and stock returns ? consequences for forecasting stock returns and measuring systemic risk
    Scheffer, Marcus
    Weiss, Gregor N. F.
    QUANTITATIVE FINANCE, 2020, 20 (03) : 425 - 446
  • [16] LONG-TERM DEPENDENCE IN COMMON STOCK RETURNS
    GREENE, MT
    FIELITZ, BD
    JOURNAL OF FINANCIAL ECONOMICS, 1977, 4 (03) : 339 - 349
  • [17] Quantile dependence of oil price movements and stock returns
    Reboredo, Juan C.
    Ugolini, Andrea
    ENERGY ECONOMICS, 2016, 54 : 33 - 49
  • [18] Returns of REITS and stock markets Measuring dependence and risk
    Rong, Ning
    Trueck, Stefan
    JOURNAL OF PROPERTY INVESTMENT & FINANCE, 2010, 28 (01) : 34 - +
  • [19] Modeling Chinese stock returns with stable distribution
    Xu, Weidong
    Wu, Chongfeng
    Dong, Yucheng
    Xiao, Weilin
    MATHEMATICAL AND COMPUTER MODELLING, 2011, 54 (1-2) : 610 - 617
  • [20] Overnight returns, daytime reversals, and future stock returns: Is China different?
    Cheema, Muhammad A.
    Chiah, Mardy
    Man, Yimei
    PACIFIC-BASIN FINANCE JOURNAL, 2022, 74
12345