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

DOI10.1111/jtsa.12006zbMath1273.62202OpenAlexW2165092292MaRDI QIDQ2852493

Dominik Wied

Publication date: 9 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/29070

zbMATH Keywords

Brownian bridgestock returnsspatial dependenceGMM estimationfluctuation test

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07) Portfolio theory (91G10)

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Cites Work

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• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• The Cusum Test for Parameter Change in Time Series Models
• Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework
• K-Sample Analogues of the Kolmogorov-Smirnov and Cramer-V. Mises Tests
• Analysis II

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