Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Dynamic Spatiotemporal ARCH Models   Geo-referenced data are characterized by an inherent spatial dependence due
to the geographical proximity. In this paper, we introduce a dynamic
spatiotemporal autoregressive conditional heteroscedasticity (ARCH) process to
describe the effects of (i) the log-squared time-lagged outcome variable, i.e.,
the temporal effect, (ii) the spatial lag of the log-squared outcome variable,
i.e., the spatial effect, and (iii) the spatial lag of the log-squared
time-lagged outcome variable, i.e., the spatiotemporal effect, on the
volatility of an outcome variable. Furthermore, our suggested process allows
for the fixed effects over time and space to account for the unobserved
heterogeneity. For this dynamic spatiotemporal ARCH model, we derive a
generalized method of moments (GMM) estimator based on the linear and quadratic
moment conditions of a specific transformation. We show the consistency and
asymptotic normality of the GMM estimator, and determine the best set of moment
functions. We investigate the finite-sample properties of the proposed GMM
estimator in a series of Monte-Carlo simulations with different model
specifications and error distributions. Our simulation results show that our
suggested GMM estimator has good finite sample properties. In an empirical
application, we use monthly log-returns of the average condominium prices of
each postcode of Berlin from 1995 to 2015 (190 spatial units, 240 time points)
to demonstrate the use of our suggested model. Our estimation results show that
the temporal, spatial and spatiotemporal lags of the log-squared returns have
statistically significant effects on the volatility of the log-returns.

7
The categories of this paper are: hep-th
20
The categories of this paper are: acc-phys
13
The categories of this paper are: quant-ph
24
The categories of this paper are: dg-ga
34
The categories of this paper are: chem-ph
9
The categories of this paper are: nlin
19
The categories of this paper are: eess
29
The categories of this paper are: funct-an
36
The categories of this paper are: cmp-lg
14
The categories of this paper are: math-ph
0
The categories of this paper are: hep-ph
3
The categories of this paper are: physics
37
The categories of this paper are: supr-con
15
The categories of this paper are: nucl-ex
1
The categories of this paper are: cs
8
The categories of this paper are: hep-ex