Auf dieser Seite finden Sie Informationen über Vorträge folgender Seminare:
Rhein-Main Kolloquium Stochastik: Gemeinsames Kolloquium der Arbeitsgruppen Stochastik TU Darmstadt / Gutenberg-Universität Mainz / Goethe-Universität Frankfurt
Stochastisches Kolloquium: Forschungsseminar des Schwerpunkts Stochastik
Oberseminar Stochastik: Forschungsseminar für Doktoranden und Masterstudenten
Oberseminar Stochastische Prozesse und Ihre Anwendungen: Das Oberseminar des FG Stochastik (Prof. Blath) findet regelmäßig statt. Es richtet sich an Bachelor- und MasterkandidatInnen und junge WissenschaftlerInnen der Arbeitsgruppe Stochastik.
Blockseminar in Riezlern im Haus Bergkranz: Infos zum Haus Bergkranz gibt es hier
Verweis auf weitere interessante Vorträge: außerhalb des Frankfurter Schwerpunkts Stochastik
Prof. Philipp Otto: Spatial and Spatiotemporal Volatility Models with an Application on Environmental Risks
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, in the case of positive spatial dependence, 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.
