Related papers: A Functional Version of the ARCH Model
In this paper, we present the asymptotic properties of the moment estimator for autoregressive (AR for short) models subject to Markovian changes in regime under the assumption that the errors are uncorrelated but not necessarily…
Agent-based models, particularly those applied to financial markets, demonstrate the ability to produce realistic, simulated system dynamics, comparable to those observed in empirical investigations. Despite this, they remain fairly…
We study the problem of robust time series analysis under the standard auto-regressive (AR) time series model in the presence of arbitrary outliers. We devise an efficient hard thresholding based algorithm which can obtain a consistent…
We show that for a certain class of dynamics at the nodes the response of a network of any topology to arbitrary inputs is defined in a simple way by its response to a monotone input. The nodes may have either a discrete or continuous set…
The classical regular and partial autocorrelation functions are powerful tools for stationary time series modelling and analysis. However, it is increasingly recognized that many time series are not stationary and the use of classical…
This short note suggests a heuristic method for detecting the dependence of random time series that can be used in the case when this dependence is relatively weak and such that the traditional methods are not effective. The method requires…
We study regression models for the situation where both dependent and independent variables are square-integrable stochastic processes. Questions concerning the definition and existence of the corresponding functional linear regression…
We propose a functional accelerated failure time model to characterize effects of both functional and scalar covariates on the time to event of interest, and provide regularity conditions to guarantee model identifiability. For efficient…
We conduct an empirical study using the quantile-based correlation function to uncover the temporal dependencies in financial time series. The study uses intraday data for the S\&P 500 stocks from the New York Stock Exchange. After…
We obtain an exact necessary and sufficient condition for the existence and uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Through several applications we show how the condition…
We present a Bayesian approach for modeling multivariate, dependent functional data. To account for the three dominant structural features in the data--functional, time dependent, and multivariate components--we extend hierarchical dynamic…
Affine term structure models have gained significant attention in the finance literature, mainly due to their analytical tractability and statistical flexibility. The aim of this article is to present both theoretical foundations as well as…
We study the existence and properties of stationary solution of ARCH-type equation $r_t= \zeta_t \sigma_t$, where $\zeta_t$ are standardized i.i.d. r.v.'s and the conditional variance satisfies an AR(1) equation $\sigma^2_t = Q^2\big(a +…
High-dimensional time series has diverse applications in econometrics and finance. Recent models for capturing temporal dependence have employed a bilinear representation for matrix time series, or the Tucker-decomposition based…
Functional data analysis is a fast evolving branch of statistics. Estimation procedures for the popular functional linear model either suffer from lack of robustness or are computationally burdensome. To address these shortcomings, a…
We consider the estimation of approximate factor models for time series data, where strong serial and cross-sectional correlations amongst the idiosyncratic component are present. This setting comes up naturally in many applications, but…
Static analyses overwhelmingly trade precision for soundness and automation. For this reason, their use-cases are restricted to situations where imprecision isn't prohibitive. In this paper, we propose and specify a static analysis that…
Economic models of quality assurance can be an important tool for decision makers in software development projects. They enable to base quality assurance planning on economical factors of the product and the used defect-detection…
Many intelligent user interfaces employ application and user models to determine the user's preferences, goals and likely future actions. Such models require application analysis, adaptation and expansion. Building and maintaining such…
We introduce a heterogeneous spatiotemporal GARCH model for geostatistical data or processes on networks, e.g., for modelling and predicting financial return volatility across firms in a latent spatial framework. The model combines…