刊名:Physica A: Statistical Mechanics and its Applications
出版年:2017
出版时间:1 April 2017
年:2017
卷:471
期:Complete
页码:460-472
全文大小:1682 K
卷排序:471
文摘
We present a novel multivariate GARCH with spatial effects model. We examine spatial effects on time-varying correlations in real estate markets. We analyze both the geographic relations and economic linkages on correlations. We demonstrate the efficiency of our proposed model in portfolio allocation.