A stationary spatio-temporal GARCH model
DOI10.1111/JTSA.12498zbMATH Open1443.62267OpenAlexW2969264111WikidataQ127336982 ScholiaQ127336982MaRDI QIDQ5111841FDOQ5111841
Authors: Sondre Hølleland, Hans A. Karlsen 
Publication date: 27 May 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/jtsa.12498
Recommendations
circularcirculantspace-timeCSTGARCHgeneralized autoregressive conditional heteroskedasticity (GARCH) modelSTGARCH
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) Stationary stochastic processes (60G10)
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Cited In (8)
- Title not available (Why is that?)
- A general framework for spatial GARCH models
- The time-varying GARCH-in-mean model
- A Skellam GARCH model
- Bayesian estimation and model selection for the spatiotemporal autoregressive model with autoregressive conditional heteroscedasticity errors
- Stochastic properties of spatial and spatiotemporal ARCH models
- 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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