Spillover dynamics for systemic risk measurement using spatial financial time series models
利用空间金融时间序列模型衡量系统性风险的溢出动态
We extend the well-known static spatial Durbin model by introducing a time-varying spatial dependence parameter. The updating steps for this model are functions of past data and have information theoretic optimality properties. The static parameters are conveniently estimated by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimators of the static parameters are consistent and asymptotically normal. Using…