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stat.ME2021★ 12 cited
Generalized Spatial and Spatiotemporal ARCH Models
Philipp Otto, Wolfgang Schmid
In time-series analyses, particularly for finance, generalized autoregressive conditional heteroscedasticity (GARCH) models are widely applied statistical tools for modelling volat…
stat.ME2015★ 22 cited
Iteratively reweighted adaptive lasso for conditional heteroscedastic time series with applications to AR-ARCH type processes
Florian Ziel
Shrinkage algorithms are of great importance in almost every area of statistics due to the increasing impact of big data. Especially time series analysis benefits from efficient an…