Showing stat.MEShow all
2 papers · 1 filter
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…