37 citations · 128 across the 25 of their papers we have counts for
Showing 2026 · stat.APShow all
2 papers · 2 filters
stat.AP2026
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…
stat.AP2026
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…