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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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A spatial econometric analysis of the regional growth and volatility in Europe
Falk, Martin; Sinabell, Franz - In: Empirica : journal of european economics 36 (2009) 2, pp. 193-207
Persistent link: https://www.econbiz.de/10003834165
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Unemployment volatility and regional specialization in the European Union
Ezcurra, Roberto - In: Regional studies 45 (2011) 8, pp. 1121-1137
Persistent link: https://www.econbiz.de/10009379520
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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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On the link between volatility and growth : a spatial econometrics approach
Abate, Girum Dagnachew - In: Spatial economic analysis : the journal of the Regional … 11 (2016) 1, pp. 27-45
Persistent link: https://www.econbiz.de/10011440462
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Regional manufacturing employment volatility in Canada : the effects of specialisation and trade
Baldwin, John R.; Brown, W. Mark - In: Papers in regional science : the journal of the … 83 (2004) 3, pp. 519-541
Persistent link: https://www.econbiz.de/10002243713
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Spatial Integration and Price Volatility of Russian Regional Wheat Markets
Odinaeva, Lola V. - 2010
Russian agriculture has seen substantial changes since the breakup of the Soviet Union. This paper studies the spatial integration and price volatility of the Russian wheat markets. Despite the vast distances between regions the results do not show significant price variations between regions....
Persistent link: https://www.econbiz.de/10013138539
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Volatility Spillovers with Spatial Effects on the Oil and Gas Market
Karatetskaya, Efrosiniya - 2018
The article is devoted to the estimation of volatility spillovers occurred on the oil and gas market taking into account cross-sectional dependence. The latter is implemented via spatial specifications of the BEKK multivariate volatility model. We also use DCC, GO-GARCH and ADCC models as a...
Persistent link: https://www.econbiz.de/10012906295
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Volatility Spillovers with Spatial Effects on the Oil and Gas Market
Karatetskaya, Efrosinia - 2018
The article is devoted to the estimation of volatility spillovers occurred on the oil and gas market taking into account cross-sectional dependence. The latter is implemented via spatial specifications of the BEKK multivariate volatility model. We also use DCC, GO-GARCH and ADCC models as a...
Persistent link: https://www.econbiz.de/10012918094