Related papers: Testing second order dynamics for autoregressive p…
In this paper we introduce a modified version of a gaussian standard first-order autoregressive process where we allow for a dependence structure between the state variable $Y_{t-1}$ and the next innovation $\xi_t$. We call this model…
We propose a new volatility model based on two stylized facts of the volatility in the stock market: clustering and leverage effect. We calibrate our model parameters, in the leading order, with 77 years Dow Jones Industrial Average data.…
In model checking for regressions, nonparametric estimation-based tests usually have tractable limiting null distributions and are sensitive to oscillating alternative models, but suffer from the curse of dimensionality. In contrast,…
Regulation is an important feature characterising many dynamical phenomena and can be tested within the threshold autoregressive setting, with the null hypothesis being a global non-stationary process. Nonetheless, this setting is debatable…
In this paper, we develop two families of sequential monitoring procedure to (timely) detect changes in a GARCH(1,1) model. Whilst our methodologies can be applied for the general analysis of changepoints in GARCH(1,1) sequences, they are…
In this paper, a new approach to bivariate modeling of autoregressive conditional duration (ACD) models is proposed. Specifically, we consider the joint modeling of durations and the number of transactions made during the spell. The…
The availability of data on economic uncertainty sparked a lot of interest in models that can timely quantify episodes of international spillovers of uncertainty. This challenging task involves trading off estimation accuracy for more…
This paper offers a new method for estimation and forecasting of the volatility of financial time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient…
A family of continuous-time generalized autoregressive conditionally heteroscedastic processes, generalizing the $\operatorname {COGARCH}(1,1)$ process of Kl\"{u}ppelberg, Lindner and Maller [J. Appl. Probab. 41 (2004) 601--622], is…
In this paper, we introduce flexible observation-driven $\mathbb{Z}$-valued time series models constructed from mixtures of negative and non-negative components. Compared to models based on the standard Skellam distribution or on a…
This paper considers a time-varying vector error-correction model that allows for different time series behaviours (e.g., unit-root and locally stationary processes) to interact with each other to co-exist. From practical perspectives, this…
This paper investigates a partially linear spatial autoregressive panel data model that incorporates fixed effects, constant and time-varying regression coefficients, and a time-varying spatial lag coefficient. A two-stage least squares…
Time series of matrix-valued data are increasingly available in various areas including economics, finance, social science, among others. These data may shed light on the inter-dynamical relationships between two sets of attributes, for…
We consider the strongly consistent question for model selection in a large class of causal time series models, including AR($\infty$), ARCH($\infty$), TARCH($\infty$), ARMA-GARCH and many classical others processes. We propose a penalized…
Tacho-less rotational speed estimation is critical for vibration-based prognostics and health management (PHM) of rotating machinery, yet traditional methods--such as time-domain periodicity, cepstrum, and harmonic comb matching--struggle…
Accelerated degradation tests are used to provide accurate estimation of lifetime properties of highly reliable products within a relatively short testing time. There data from particular tests at high levels of stress (e.\,g.\ temperature,…
In this article, we propose the fractional lower order covariance method (FLOC) for estimating the parameters of vector autoregressive process (VAR) of order $p$, $p\geq 1$ with symmetric stable noise. Further, we show the efficiency,…
Previous comparisons of ordinary least squares with Newey-West standard errors (OLS-NW) and Prais-Winsten (PW) regression in multiple-group interrupted time series analysis have been limited to first-order autoregressive (AR[1]) errors…
The $GARCH$ algorithm is the most renowned generalisation of Engle's original proposal for modelising {\it returns}, the $ARCH$ process. Both cases are characterised by presenting a time dependent and correlated variance or {\it…
Standard methods, such as sequential procedures based on Johansen's (pseudo-)likelihood ratio (PLR) test, for determining the co-integration rank of a vector autoregressive (VAR) system of variables integrated of order one can be…