Spatio-Temporal Geostatistical Analysis and Prediction For Financial Data

Recently, the interest on financial risk management has increased and the analysis of the joint spatial and temporal profiles of the associated financial variables provides appreciable basis for interpreting their behavior. Analysis over space and time might highlight some characteristics, which are typical of local areas and/or temporal spans, due to specific political actions on different social, economic and financial backgrounds. Thus, predictions may offer significant hints to policy makers, investors and market operators in planning strategies for the economic growth and macroeconomic stability. A Geostatistical approach in this context is thus suitable to model jointly the spatial and temporal variability exhibited by the data, to predict financial variables as well as to realize probability maps related to different levels of financial risk. In particular, after introducing the available data regarding financial variables observed in the Italian provinces, for different time points, a space-time geostatistical analysis for modeling and prediction purposes will be discussed. Finally, probability financial risk maps will be produced.