2023/08/24 by Philipp Otto, Osman Doğan, Otto, Philipp +7 · 3 citations
Decision Sciences · Economics, Econometrics and Finance · Social Sciences · #Econometrics (econ.EM) #Efficiency Analysis Using DEA #FOS: Computer and information sciences #FOS: Economics and business #Insurance, Mortality, Demography, Risk Management #Other Statistics (stat.OT) #Spatial and Panel Data Analysis #Statistical Finance (q-fin.ST)
paper · pdf · doi:10.48550/arxiv.2308.13061
openalex publication_date 2023/08/24 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Spatial and spatiotemporal volatility models are a class of models designed to capture spatial dependence in the volatility of spatial and spatiotemporal data. Spatial dependence in the volatility may arise due to spatial spillovers among locations; that is, if two locations are in close proximity, they can exhibit similar volatilities. In this paper, we aim to provide a comprehensive review of the recent literature on spatial and spatiotemporal volatility models. We first briefly review time series volatility models and their multivariate extensions to motivate their spatial and spatiotemporal counterparts. We then review various spatial and spatiotemporal volatility specifications proposed in the literature along with their underlying motivations and estimation strategies. Through this analysis, we effectively compare all models and provide practical recommendations for their appropriate usage. We highlight possible extensions and conclude by outlining directions for future research.