Spatial dependence in stock returns : local normalization and VaR forecasts
Year of publication: |
May 2016
|
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Authors: | Schmitt, Thilo A. ; Schäfer, Rudi ; Wied, Dominik ; Guhr, Thomas |
Published in: |
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria. - Berlin : Springer, ISSN 0377-7332, ZDB-ID 519394-1. - Vol. 50.2016, 3, p. 1091-1109
|
Subject: | GARCH | One-factor model | Power mapping | Spatial autoregressive model | ARCH-Modell | ARCH model | Regionalökonomik | Regional economics | Theorie | Theory | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income |
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