A general framework for spatial GARCH models
From MaRDI portal
Recommendations
- A stationary spatio-temporal GARCH model
- GMM inference in spatial autoregressive models
- An efficient GMM estimator of spatial autoregressive models
- Spatial autoregressive conditional heteroskedasticity models
- Generalized spatial dynamic factor models
- scientific article; zbMATH DE number 970681
- GEL estimation and tests of spatial autoregressive models
- GMM estimation of spatial autoregressive models with unknown heteroskedasticity
- On unit roots for spatial autoregressive models
Cites work
- A generalized method of moments estimator for a spatial model with moving average errors, with application to real estate prices
- A stationary spatio-temporal GARCH model
- Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Estimation of the Spatial Weighting Matrix for Spatiotemporal Data under the Presence of Structural Breaks
- Fixed point theorems in probabilistic analysis
- GARCH models without positivity constraints: exponential or log GARCH?
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
- scientific article; zbMATH DE number 1324089 (Why is no real title available?)
- Identification of Endogenous Social Effects: The Reflection Problem
- Proximity-structured multivariate volatility models
- Random fixed point theorems and approximation
- Reduced-bias estimation of spatial autoregressive models with incompletely geocoded data
- Reducing random transforms
- Spatial autoregressive conditional heteroskedasticity models
- Statistics for spatial data
- Statistics for spatio-temporal data
- Stochastic properties of spatial and spatiotemporal ARCH models
Cited in
(6)- The spatial \textit{probit} model--an application to the study of banking crises at the end of the 1990's
- Bayesian estimation and model selection for the spatiotemporal autoregressive model with autoregressive conditional heteroscedasticity errors
- Control charts for high-dimensional time series with estimated in-control parameters
- A Markov-switching spatio-temporal ARCH model
- Conditional quantile estimation for GARCH model based on mixed-frequency data
- Spatial independent component analysis for heteroskedastic random fields
This page was built for publication: A general framework for spatial GARCH models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6089305)
