A Stationary Spatio‐Temporal GARCH Model

DOI10.1111/jtsa.12498zbMath1443.62267OpenAlexW2969264111WikidataQ127336982 ScholiaQ127336982MaRDI QIDQ5111841

Hans Arnfinn 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

zbMATH Keywords

circularspace-timecirculantCSTGARCHgeneralized autoregressive conditional heteroskedasticity (GARCH) modelSTGARCH

Mathematics Subject Classification ID

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

Related Items (2)

A general framework for spatial GARCH models ⋮ Bayesian estimation and model selection for the spatiotemporal autoregressive model with autoregressive conditional heteroscedasticity errors

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