Elkanah Nyabuto

Learning Volatility Dependence Networks in UK Equity Markets using Penalised Spatiotemporal ARCH Models

Spatiotemporal ARCH models capture temporal volatility persistence and cross-sectional dependence but typically require a predefined spatial weight matrix. This is restrictive in financial markets, where the dependence network is rarely known. We develop a LASSO-penalised quasi-maximum likelihood estimator that jointly...