A case study on the shareholder network effect of stock market data: an SARMA approach
From MaRDI portal
Publication:2090415
DOI10.1007/s11425-021-1917-4OpenAlexW4285095955MaRDI QIDQ2090415
Jing Zhou, Wei Lan, Hansheng Wang, Rong Zhang
Publication date: 25 October 2022
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-021-1917-4
quasi-maximum likelihood estimatorstock market datashareholder network effectspatial autoregressive moving average model
Directional data; spatial statistics (62H11) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Uses Software
Cites Work
- Unnamed Item
- Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
- Asset pricing in large information networks
- An efficient GMM estimator of spatial autoregressive models
- Portal nodes screening for large scale social networks
- A note on estimating network dependence in a discrete choice model
- New directions in spatial econometrics
- A comparison of some of pattern identification methods for order determination of mixed ARMA models
- Inference on higher-order spatial autoregressive models with increasingly many parameters
- Emergence of Scaling in Random Networks
- A generalized method of moments estimator for a spatial model with moving average errors, with application to real estate prices
- Power-Law Distributions in Empirical Data
- An Exponential Family of Probability Distributions for Directed Graphs
- Estimation and Prediction for Stochastic Blockstructures
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Stochastic Blockmodels for Directed Graphs
- Network GARCH Model
- Network Influence Analysis
- A Naive Least Squares Method for Spatial Autoregression with Covariates
- A Popularity Scaled Latent Space Model for Large-Scale Directed Social Network
- Common risk factors in the returns on stocks and bonds
- Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
- On the asymptotic distribution of the Moran \(I\) test stastistic with applications
This page was built for publication: A case study on the shareholder network effect of stock market data: an SARMA approach
