10 citations · 18 across the 3 of their papers we have counts for
Showing stat.MEShow all
2 papers · 1 filter
stat.ME2022★ 8 cited
A Dynamic Spatiotemporal Stochastic Volatility Model with an Application to Environmental Risks
Philipp Otto, Osman Doğan, Süleyman Taşpınar
This article introduces a dynamic spatiotemporal stochastic volatility (SV) model with explicit terms for the spatial, temporal, and spatiotemporal spillover effects. Moreover, the…
stat.ME2022★ 10 cited
Dynamic Spatiotemporal ARCH Models
Philipp Otto, Osman Doğan, Süleyman Taşpınar
Geo-referenced data are characterized by an inherent spatial dependence due to the geographical proximity. In this paper, we introduce a dynamic spatiotemporal autoregressive condi…