Search Results - subject:"Spatial GARCH"

A general framework for spatial GARCH models

Otto, Philipp; Schmid, Wolfgang - In: Statistical Papers 64 (2022) 5, pp. 1721-1747

, we introduce a novel spatial GARCH process in a unified spatial and spatiotemporal GARCH framework, which also covers all … previously proposed spatial ARCH models, exponential spatial GARCH, and time-series GARCH models. In contrast to previous … spatiotemporal and time series models, this spatial GARCH allows for instantaneous spill-overs across all spatial units. For this …

Persistent link: https://www.econbiz.de/10015210606

Networks in risk spillovers : a multivariate GARCH perspective

Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo - 2020

Persistent link: https://www.econbiz.de/10012244841

Networks in risk spillovers: A multivariate GARCH perspective

Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo - 2018

We propose a spatiotemporal approach for modeling risk spillovers using time-varying proximity matrices based on observable financial networks and introduce a new bilateral specification. We study covariance stationarity and identification of the model, and analyze consistency and asymptotic...

Persistent link: https://www.econbiz.de/10011892934

Networks in risk spillovers : a multivariate GARCH perspective

Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo - 2018

Persistent link: https://www.econbiz.de/10011892696

Networks in risk spillovers : a multivariate GARCH perspective

Billio, Monica; Caporin, Massimiliano; Frattarolo, Lorenzo - 2016

Persistent link: https://www.econbiz.de/10011629466