3 papers
stat.ME2024
A Dynamic Spatiotemporal and Network ARCH Model with Common Factors
Osman Doğan, Raffaele Mattera, Philipp Otto +1
We introduce a dynamic spatiotemporal volatility model that extends traditional approaches by incorporating spatial, temporal, and spatiotemporal spillover effects, along with vola…
stat.ME2023
Dynamic Spatiotemporal ARCH Models: Small and Large Sample Results
Philipp Otto, Osman Doğan, Süleyman Taşpınar
This paper explores the estimation of a dynamic spatiotemporal autoregressive conditional heteroscedasticity (ARCH) model. The log-volatility term in this model can depend on (i) t…
econ.EM2023
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…