3 papers
stat.AP2026
Spatiotemporal dynamics of wind-speed volatility
Ariane Nidelle Meli Chrisko, Philipp Otto
Wind-speed processes exhibit substantial temporal variability and spatial dependence, yet volatility dynamics across monitoring networks remain relatively unexplored. This study in…
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…
stat.AP2025
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…