Stochastic properties of spatial and spatiotemporal ARCH models
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DOI: 10.1007/s00362-019-01106-x
Abstract: In this paper, we provide some results on the class of spatial autoregressive conditional heteroscedasticity (ARCH) models, which have been introduced in recent literature to model spatial conditional heteroscedasticity. That means that the variance in… read more here.
Keywords: arch models; distribution; arch; properties spatial ... See more keywords