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Fülle et al., 2024 - Google Patents

Spatial GARCH models for unknown spatial locations–an application to financial stock returns

Fülle et al., 2024

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Document ID
17435861550396840669
Author
Fülle M
Otto P
Publication year
Publication venue
Spatial Economic Analysis

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Snippet

Spatial GARCH models, like all other spatial econometric models, require the definition of a suitable weight matrix. This matrix implies a certain structure for spatial interactions. GARCH- type models are often applied to financial data because the conditional variance, which can …
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