2 citations · 2 across the 3 of their papers we have counts for
3 papers
A Markov-switching spatio-temporal ARCH model
Tzung Hsuen Khoo, Dharini Pathmanathan, Philipp Otto +1
Stock market indices are volatile by nature, and sudden shocks are known to affect volatility patterns. The autoregressive conditional heteroskedasticity (ARCH) and generalized ARC…
Spatiotemporal modelling of PM concentrations in Lombardy (Italy) -- A comparative study
Philipp Otto, Alessandro Fusta Moro, Jacopo Rodeschini +7
This study presents a comparative analysis of three predictive models with an increasing degree of flexibility: hidden dynamic geostatistical models (HDGM), generalised additive mi…
Spatial and Spatiotemporal Volatility Models: A Review
Philipp Otto, Osman Doğan, Süleyman Taşpınar +2
Spatial and spatiotemporal volatility models are a class of models designed to capture spatial dependence in the volatility of spatial and spatiotemporal data. Spatial dependence i…