CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns

Journal of Time Series Analysis

Volumn 34, Issue 2, 2013, Pages 221-229

  Wied, Dominik ^a  

^a TU DORTMUND UNIVERSITY   (Germany)

Author keywords

Brownian bridge; Fluctuation test; GMM estimation; Spatial dependence; Stock returns

Indexed keywords

EID: 84874189269     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/jtsa.12006     Document Type: Article

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