Classical spatial autoregressive models share the same weakness as the classical linear regression models, namely it is not possible to estimate non-linear relationships between the dependent and independent variables. In the case of classical linear regression a semi-parametric approach can be...

Investors typically measure an asset’s potential to diversify a portfolio by its correlations with the portfolio’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively with the other asset returns over the investor’s...