12 citations · 16 across the 17 of their papers we have counts for
9 papers · 1 filter
Learning Volatility Dependence Networks in UK Equity Markets using Penalised Spatiotemporal ARCH Models
Elkanah Nyabuto, Philipp Otto
Spatiotemporal ARCH models capture temporal volatility persistence and cross-sectional dependence but typically require a predefined spatial weight matrix. This is restrictive in f…
Comparative Analysis of Spatiotemporal Volatility Models: An Empirical Study on Financial Network Series
Ariane N. Meli Chrisko, Jessie Li, Philipp Otto +1
Various spatiotemporal and network GARCH models have recently been proposed to capture volatility interactions, such as the transmission of market risk across financial networks. T…
Exponential Spatiotemporal GARCH Model with Asymmetric Volatility Spillovers
Ariane Nidelle Meli Chrisko, Philipp Otto, Wolfgang Schmid
This paper introduces a spatiotemporal exponential generalised autoregressive conditional heteroscedasticity (spatiotemporal E-GARCH) model, extending traditional spatiotemporal GA…
A Bayesian Spatio-Temporal Model of Temperature- and Humidity-Related Mortality Using High-Resolution Climate Data
Corinna Perchtold, Julia Eisenberg, Philipp Otto
In this study, we introduce a novel and comprehensive extension of a Bayesian spatio-temporal disease mapping model that explicitly accounts for gender-specific effects of meteorol…
Simple yet effective: a comparative study of statistical models for yearly hurricane forecasting
Pietro Colombo, Raffaele Mattera, Philipp Otto
In this paper, we study the problem of forecasting the next year's number of Atlantic hurricanes, which is relevant in many fields of applications such as land-use planning, hazard…
Multidimensional spatiotemporal clustering -- An application to environmental sustainability scores in Europe
Caterina Morelli, Simone Boccaletti, Paolo Maranzano +1
The assessment of corporate sustainability performance is extremely relevant in facilitating the transition to a green and low-carbon intensity economy. However, companies located…