Empirical Economics

, Volume 44, Issue 2, pp 761–774 | Cite as

Modeling different kinds of spatial dependence in stock returns

  • Matthias Arnold
  • Sebastian Stahlberg
  • Dominik Wied
Article

Abstract

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.

Keywords

GMM estimation Heteroscedasticity Spatial dependence Stock returns Value at Risk 

JEL Classification

C13 C51 G12 

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Copyright information

© Springer-Verlag 2011

Authors and Affiliations

  • Matthias Arnold
    • 1
  • Sebastian Stahlberg
    • 1
  • Dominik Wied
    • 1
  1. 1.Fakultät StatistikTU DortmundDortmundGermany

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