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To this end, we generalize the spatial autoregressive model with autoregressive and heteroskedastic disturbances, that is, SARAR(1, 1), by exploiting the recent advancements in score\u2010driven (SD) models typically used in time series econometrics. In particular, we allow for time\u2010varying spatial autoregressive coefficients as well as time\u2010varying regressor coefficients and cross\u2010sectional standard deviations. We report an extensive Monte Carlo simulation study in order to investigate the finite\u2010sample properties of the maximum likelihood estimator for the new class of models as well as its flexibility in explaining a misspecified dynamic spatial dependence process. The new proposed class of models is found to be economically preferred by rational investors through an application to portfolio optimization.<\/jats:p>","DOI":"10.1002\/jae.2565","type":"journal-article","created":{"date-parts":[[2017,2,22]],"date-time":"2017-02-22T20:46:43Z","timestamp":1487796403000},"page":"1178-1196","source":"Crossref","is-referenced-by-count":48,"title":["Dynamic spatial autoregressive models with autoregressive and heteroskedastic disturbances"],"prefix":"10.1002","volume":"32","author":[{"given":"Leopoldo","family":"Catania","sequence":"first","affiliation":[{"name":"Department of Economics and Finance University of Rome \u201cTor Vergata\u201d  Rome Italy"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Anna Gloria","family":"Bill\u00e9","sequence":"additional","affiliation":[{"name":"Department of Economics and Finance University of Rome \u201cTor Vergata\u201d  Rome Italy"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2017,2,22]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1080\/00045608.2015.1064510"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-94-015-7799-1"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1177\/0160017602250972"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-75892-1_19"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1435-5957.2008.00208.x"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.1007\/s00181-011-0528-2"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2013.08.015"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/obes.12011"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.08.006"},{"key":"e_1_2_8_11_1","unstructured":"Bernardi M. &Catania L.(2016).Portfolio optimisation under flexible dynamic dependence modelling. 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