A stationary spatio-temporal GARCH model

DOI10.1111/JTSA.12498MaRDI QIDQ5111841zbMATH OpenOpenAlexWikidataFDO

Authors Sondre Hølleland, Hans A. Karlsen

Publication date 27 May 2020

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1111/jtsa.12498

zbMATH Keywords

circulantcircularCSTGARCHgeneralized autoregressive conditional heteroskedasticity (GARCH) modelspace-timeSTGARCH

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Asymptotic properties of parametric estimators (62F12) Directional data; spatial statistics (62H11) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30)

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Cited in

(8)

• The time-varying GARCH-in-mean model
• A Skellam GARCH model
• Stochastic properties of spatial and spatiotemporal ARCH models
• scientific article; zbMATH DE number 5717347 (Why is no real title available?)
• A general framework for spatial GARCH models
• Bayesian estimation and model selection for the spatiotemporal autoregressive model with autoregressive conditional heteroscedasticity errors
• Vector time series modelling of turbidity in Dublin Bay
• Spatio-temporal analysis of dependent risk with an application to cyberattacks data

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