Related papers: Dynamic Spatiotemporal ARCH Models
Study of instantaneous dependence among several variable is important in many of the high-dimensional sciences. Multivariate GARCH models are as a standard approach for modelling time-varying covariance matrix such phenomena. Cholesky GARCH…
Hierarchical models for regionally aggregated disease incidence data commonly involve region specific latent random effects that are modeled jointly as having a multivariate Gaussian distribution. The covariance or precision matrix…
Christoffersen, Jacobs, Ornthanalai, and Wang (2008) (CJOW) proposed an improved Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model for valuing European options, where the return volatility is comprised of two distinct…
We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today's volatility can be expressed as a general quadratic form of the past daily…
The Lyapounov exponent and sharp conditions for geometric ergodicity are determined of a time series model with both a threshold autoregression term and threshold autoregressive conditional heteroscedastic (ARCH) errors. The conditions…
In this article we focus on dynamic network data which describe interactions among a fixed population through time. We model this data using the latent space framework, in which the probability of a connection forming is expressed as a…
In order to calculate the unobserved volatility in conditional heteroscedastic time series models, the natural recursive approximation is very often used. Following \cite{StraumannMikosch2006}, we will call the model \emph{invertible} if…
This paper develops a Bayesian framework for the realized exponential generalized autoregressive conditional heteroskedasticity (realized EGARCH) model, which can incorporate multiple realized volatility measures for the modelling of a…
In this paper, we introduce flexible observation-driven $\mathbb{Z}$-valued time series models constructed from mixtures of negative and non-negative components. Compared to models based on the standard Skellam distribution or on a…
We consider the well-studied problem of predicting the time-varying covariance matrix of a vector of financial returns. Popular methods range from simple predictors like rolling window or exponentially weighted moving average (EWMA) to more…
Estimating value-at-risk on time series data with possibly heteroscedastic dynamics is a highly challenging task. Typically, we face a small data problem in combination with a high degree of non-linearity, causing difficulties for both…
This article was motivated by the desire to improve Markov chain Monte Carlo methods for spatial survival models in which the locations of individuals in space are known. For a dataset comprising information on n individuals, standard…
This paper introduces a unified approach for modeling high-frequency financial data that can accommodate both the continuous-time jump-diffusion and discrete-time realized GARCH model by embedding the discrete realized GARCH structure in…
Spatial heteroskedasticity refers to stochastically changing variances and covariances in space. Such features have been observed in, for example, air pollution and vegetation data. We study how volatility modulated moving averages can…
We propose a multivariate GARCH model for non-stationary health time series by modifying the variance of the observations of the standard state space model. The proposed model provides an intuitive way of dealing with heteroskedastic data…
Statistical research in real estate markets, particularly in understanding the spatio-temporal dynamics of house prices, has garnered significant attention in recent times. Although Bayesian methods are common in spatio-temporal modeling,…
A novel first-order autoregressive moving average model for analyzing discrete-time series observed at irregularly spaced times is introduced. Under Gaussianity, it is established that the model is strictly stationary and ergodic. In the…
The solutions of Hamiltonian equations are known to describe the underlying phase space of a mechanical system. In this article, we propose a novel spatio-temporal model using a strategic modification of the Hamiltonian equations,…
We present hierarchical Bayesian methodology to perform spatio-temporal change of support (COS) for survey data with Gaussian sampling errors. This methodology is motivated by the American Community Survey (ACS), which is an ongoing survey…
This study develops a spatial additive mixed modeling (AMM) approach estimating spatial and non-spatial effects from large samples, such as millions of observations. Although fast AMM approaches are already well-established, they are…