113 citations · 373 across the 16 of their papers we have counts for
16 papers
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…
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…
Generalized Spatial and Spatiotemporal ARCH Models
Philipp Otto, Wolfgang Schmid
In time-series analyses, particularly for finance, generalized autoregressive conditional heteroscedasticity (GARCH) models are widely applied statistical tools for modelling volat…
Statistical inference for the EU portfolio in high dimensions
Taras Bodnar, Solomiia Dmytriv, Yarema Okhrin +2
In this paper, using the shrinkage-based approach for portfolio weights and modern results from random matrix theory we construct an effective procedure for testing the efficiency…
Spatial and Spatiotemporal GARCH Models -- A Unified Approach
Philipp Otto, Wolfgang Schmid
In time-series analyses, particularly for finance, generalized autoregressive conditional heteroscedasticity (GARCH) models are widely applied statistical tools for modelling volat…
Mean-Variance Efficiency of Optimal Power and Logarithmic Utility Portfolios
Taras Bodnar, Dmytro Ivasiuk, Nestor Parolya +1
We derive new results related to the portfolio choice problem for power and logarithmic utilities. Assuming that the portfolio returns follow an approximate log-normal distribution…