Rik Lopuhaa

Delft University of Technology

Stevinweg 1

Stevinweg 1

Delft, 2628 CN

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Scholarly Papers (1)

1.

Spatial GARCH: A Spatial Approach to Multivariate Volatility Modeling

Number of pages: 33 Posted: 17 Nov 2012
Svetlana Borovkova and Rik Lopuhaa
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration and Delft University of Technology
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Abstract:

conditional variance, space-time models, GARCH, weight matrix, maximum likelihood estimation