113 citations · 373 across the 16 of their papers we have counts for
3 papers · 1 filter
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…
A New High-Dimensional Time Series Approach for Wind Speed, Wind Direction and Air Pressure Forecasting
Daniel Ambach, Wolfgang Schmid
Many wind speed forecasting approaches have been proposed in literature. In this paper a new statistical approach for jointly predicting wind speed, wind direction and air pressure…
On Control Charts for Monitoring the Variance of a Time Series
Taras Lazariv, Wolfgang Schmid, Svitlana Zabolotska
In this paper we derive control charts for the variance of a Gaussian process using the likelihood ratio approach, the generalized likelihood ratio approach, the sequential probabi…