Arbitrage Pricing with Heterogeneous Spatial Effects and Heteroscedastic Disturbances
开发了一个允许异质性空间效应和异方差扰动的套利定价模型，并用欧元区11国股指数据扩展了Fama-French五因子模型，发现空间效应和异方差在解释各国股市内生效应和风险中起重要作用。
Abstract We develop a heterogeneous spatial arbit and regression coefficients, and heteroscedastic variances, and further establish identification of parameters and asymptotic normality of the conditional QML estimators under some mild conditions. We apply the proposed model to study a real data set of 11 eurozone stock index returns and extend the Fama–French five-factor model to regional stock indices, in which heterogeneous spatial effects and heteroscedastic disturbances are highly significant and they both play very important roles in explaining distinct endogenous effects and distinct risks of the 11 eurozone stock markets. Our empirical results reveal unique characteristics of each of 11 eurozone stock markets and their inner connections.