Related papers: Limit experiments of GARCH
We prove a global asymptotic equivalence of experiments in the sense of Le Cam's theory. The experiments are a continuously observed diffusion with nonparametric drift and its Euler scheme. We focus on diffusions with nonconstant-known…
Leggett and Garg formulated macrorealist models encoding our intuition on classical systems, i.e., physical quantities have a definite value that can be measured with minimal disturbance, and with the goal of testing macroscopic quantum…
The paper considers gossip distributed estimation of a (static) distributed random field (a.k.a., large scale unknown parameter vector) observed by sparsely interconnected sensors, each of which only observes a small fraction of the field.…
Two cellular automata models with directed mass flow and internal time scales are studied by numerical simulations. Relaxation rules are a combination of probabilistic critical height (probability of toppling $p$) and deterministic critical…
We analyze the Lagrangian flow in a family of simple Gaussian scale-invariant velocity ensembles that exhibit both spatial roughness and temporal correlations. We show that the behavior of the Lagrangian dispersion of pairs of fluid…
We consider the scaling limit of linear statistics for eigenphases of a matrix taken from one of the classical compact groups. We compute their moments and find that the first few moments are Gaussian, whereas the limiting distribution is…
We define a novel class of time changed Pearson diffusions, termed stretched non local Pearson diffusions, where the stochastic time change model has the Kilbas Saigo function as its Laplace transform. Moreover, we introduce a stretched…
We explore the diffusion process in the non-Markovian spatio-temporal noise.%the escape rate problem in the non-Markovian spatio-temporal random noise. There is a non-trivial short memory regime, i.e., the Markovian limit characterized by a…
Nelson's stochastic mechanics may be understood as a stochastic underpinning, or reconstruction, of nonrelativistic quantum mechanics, once the diffusion scale is fixed by $\hbar$ and the admissible states are restricted by the usual…
We propose a hybrid model of portfolio credit risk where the dynamics of the underlying latent variables is governed by a one factor GARCH process. The distinctive feature of such processes is that the long-term aggregate return…
Let $(X_n)_{n\in \mathbb Z}$ be a GARCH process with $E(X_0^4)<\infty$, and let $\mu_n$ denote the distribution of $\frac 1{{\sqrt n}}\sum_{i=1}^n [X_i^2-\mathbb E(X_0^2)]$. We derive a numerical approximation of $\mu_n$ when $x_1,...,x_n$…
This paper is concerned with some properties of the generalized GARCH models, obtained by extending GARCH models with exogenous variables, the so-called GARCH extended (GARCHX) models. For these, we establish sufficient conditions for some…
In this paper we investigate how the bootstrap can be applied to time series regressions when the volatility of the innovations is random and non-stationary. The volatility of many economic and financial time series displays persistent…
We present a detailed discussion of our novel diagrammatic coupled cluster Monte Carlo (diagCCMC) [Scott et al. J. Phys. Chem. Lett. 2019, 10, 925]. The diagCCMC algorithm performs an imaginary-time propagation of the similarity-transformed…
During the last decades there has been increasing interest in modeling the volatility of financial data. Several parametric models have been proposed to this aim, starting from ARCH, GARCH and their variants, but often it is hard to…
Variable Speed Generalized L\'{e}vy Walks (VGLWs) are a class of spatio-temporally coupled stochastic processes that unify a broad range of previously studied models within a single parametrized framework. Their dynamics consist of discrete…
We prove the global asymptotic equivalence between the experiments generated by the discrete (high frequency) or continuous observation of a path of a time inhomogeneous jump-diffusion process and a Gaussian white noise experiment. Here,…
We consider a continuous-time random walk which is the generalization, by means of the introduction of waiting periods on sites, of the one-dimensional nonhomogeneous random walk with a position-dependent drift known in the mathematical…
A recent paper by Souza, Oliveira and Sarthour (SOS) reports the experimental violation of a Leggett-Garg inequality (sometimes referred to as a temporal Bell inequality). The inequality tests for quantum mechanical superposition: if the…
A space fractional diffusion-like equation is introduced, which embodies the nonlocality in time, represented by the memory kernel and the non-locality in space. A specific example of the nonlocal term is considered in combination with…