Malinovskaya - Research Projects

Statistik

  • Spatial and spatio-temporal GARCH models
    The project is concerned with a subfield of spatial statistics, which deals in particular with the analysis of random processes in space. When analyzing such processes, it can often be found that observations that are located in spatial proximity to each other are similar. If, for example, land prices in a municipality are high, high prices can also be expected in the surrounding municipalities. In addition to this spatial dependency in the level of observations, a spatial dependency in the dispersion of observations as well as the conditional heteroskedasticity can also be determined. In the project, models for this will be developed and extended. The spatial models are analogous to the ARCH model of Robert F. Engle (1982) in time series analysis, who was awarded the Nobel Prize for Economics in 2003.
    Leaders: Prof. Dr. Philipp Otto
    Year: 2019
    Sponsors: Deutsche Forschungsgemeinschaft