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Spatial GARCH : A Spatial Approach to Multivariate Volatility Modeling
Borovkova, Svetlana - 2012
This paper introduces a new approach to modelling the conditional variance in a multivariate setting. It is essentially a combination of the popular GARCH model class with a spatial component, inspired by generalized space-time models. The resulting spatial GARCH model takes into account both...
Persistent link: https://www.econbiz.de/10013097898
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Spatial spillover effects and risk contagion around G20 stock markets based on volatility network
Zhang, Weiping; Zhuang, Xintian; Lu, Yang - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012659562
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Trade, democracy, and economic growth : four essays in dynamic economics
Shukayev, Malik - 2005
Persistent link: https://www.econbiz.de/10003554459
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International comovement of economic fluctuations : a spatial analysis
Wang, Miao; Wong, M. C. Sunny; Granato, James S. - In: World development : the multi-disciplinary … 67 (2015), pp. 186-201
Persistent link: https://www.econbiz.de/10011338731
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Spatial connectedness of volatility spillovers in G20 stock markets : based on block models analysis
Zhang, Weiping; Zhuang, Xintian; Wu, Dongmei - In: Finance research letters 34 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012438221
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Spatial market inefficiency in housing market : a spatial quantile regression approach
Chae, Jiyoung; Bera, Anil K. - In: The journal of real estate finance and economics 69 (2024) 1, pp. 70-99
Persistent link: https://www.econbiz.de/10015080934
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Spatial dependence, idiosyncratic risk, and the valuation of disaggregated housing data
Simlai, Prodosh - In: The journal of real estate finance and economics 57 (2018) 2, pp. 192-230
Persistent link: https://www.econbiz.de/10012038861
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The econometrics of stochastic volatility
Harvey, Andrew C.; Shephard, Neil G. - 1993
Persistent link: https://www.econbiz.de/10000865088
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Statistical methods in finance
Maddala, Gangadharrao S. (contributor);  … - 1996
Persistent link: https://www.econbiz.de/10000610528
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Applied quantitative finance
Härdle, Wolfgang (ed.); Hautsch, Nikolaus (ed.);  … - 2009 - 2. ed.
Persistent link: https://www.econbiz.de/10003719524