A Stationary Spatio‐Temporal GARCH Model
DOI10.1111/JTSA.12498zbMATH Open1443.62267OpenAlexW2969264111WikidataQ127336982 ScholiaQ127336982MaRDI QIDQ5111841FDOQ5111841
Hans A. Karlsen, Sondre Hølleland
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
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)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Comparing implementations of global and local indicators of spatial association
- Time series: theory and methods.
- Generalized autoregressive conditional heteroscedasticity
- Parameter estimation for a stationary process on a d-dimensional lattice
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Polynomial nonlinear spatio‐temporal integro‐difference equation models
- A general science-based framework for dynamical spatio-temporal models
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Statistics for Spatial Data
- A Three-Stage Iterative Procedure for Space-Time Modeling
- ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
- GARCH processes: structure and estimation
- Stationarity of GARCH processes and of some nonnegative time series
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- On the measurability and consistency of minimum contrast estimates
- Large-sample inference on spatial dependence
- A Gaussian Markovian process on a square lattice
- Spatial Autoregressive Conditional Heteroskedasticity Models
- Necessary conditions for Markovian processes on a lattice
- Elements of multivariate time series analysis
- Analysis of stationary spatial-temporal processes: Estimation and prediction
Cited In (7)
- 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
- Vector time series modelling of turbidity in Dublin Bay
- Spatio-temporal analysis of dependent risk with an application to cyberattacks data
This page was built for publication: A Stationary Spatio‐Temporal GARCH Model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5111841)
