Spatial effects in dynamic conditional correlations

DOI10.1080/02664763.2015.1071343MaRDI QIDQ5138022zbMATH OpenOpenAlexFDO

Authors Edoardo Otranto, Massimo Mucciardi, Pietro Bertuccelli

Publication date 3 December 2020

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://crenos.unica.it/crenos/sites/default/files/WP14-06.pdf

zbMATH Keywords

Gaussian kernelspace-time correlationtime-varying correlationweight matrix

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30)

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Cites work

• A GARCH-variance dependent approach to modelize dynamic conditional correlations
• A test for spatial autocorrelation in seemingly unrelated regressions
• Clustering heteroskedastic time series by model-based procedures
• scientific article; zbMATH DE number 3705754 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 847282 (Why is no real title available?)
• Identification and Interpretation of First Order Space-Time ARMA Models
• Kernel methods in machine learning
• Statistics for spatial data
• The Schur complement and its applications

Cited in

(3)

• Clustering space-time series: FSTAR as a flexible STAR approach
• Effects of Scale in Spatial Interaction Models
• Spatial dependence in small cooperative bank risk behavior and its effects on bank competitiveness and SMEs

Describes a project that uses

Uses Software

• KernSmooth

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