Related papers: GARCH-extended models: theoretical properties and …

We propose generalizations of a number of standard network models, including the classic random graph, the configuration model, and the stochastic block model, to the case of time-varying networks. We assume that the presence and absence of…

Some bouncing models are investigated in the framework of an extended theory of gravity. The extended gravity model is a simple extension of the General Relativity where an additional matter geometry coupling is introduced to account for…

Sufficient conditions for comparing the convolutions of heterogeneous gamma random variables in terms of the usual stochastic order are established. Such comparisons are characterized by the Schur convexity properties of the cumulative…

The extremal characteristics of random structures, including trees, graphs, and networks, are discussed. A statistical physics approach is employed in which extremal properties are obtained through suitably defined rate equations. A variety…

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…

We study the continuity properties of a generalized Davenport Fourier expansion we recently discovered, by imposing conditions on the coefficients. We also put our expansion into perspective from the position of Appell sequences.

We propose a family of statistical models for social network evolution over time, which represents an extension of Exponential Random Graph Models (ERGMs). Many of the methods for ERGMs are readily adapted for these models, including…

Here, we have analysed a GARCH(1,1) model with the aim to fit higher order moments for different companies' stock prices. When we assume a gaussian conditional distribution, we fail to capture any empirical data when fitting the first three…

Generalized latent factor analysis not only provides a useful latent embedding approach in statistics and machine learning, but also serves as a widely used tool across various scientific fields, such as psychometrics, econometrics, and…

We derive properties of Latent Variable Models for networks, a broad class of models that includes the widely-used Latent Position Models. These include the average degree distribution, clustering coefficient, average path length and degree…

Here we present a theoretical study on the main properties of Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroskedastic (FIEGARCH) processes. We analyze the conditions for the existence, the invertibility,…

We propose Neural GARCH, a class of methods to model conditional heteroskedasticity in financial time series. Neural GARCH is a neural network adaptation of the GARCH 1,1 model in the univariate case, and the diagonal BEKK 1,1 model in the…

We provide novel characterizations of multivariate normality that incorporate both the characteristic function and the moment generating function, and we employ these results to construct a class of affine invariant, consistent and…

In this work some aspects of models with universal extra dimensions are studied. In particular, in the case of models with one universal extra dimension their phenomenology is investigated and used to extract bounds on the size of the extra…

We consider generalizations of kinetic granular gas models given by Boltzmann equations of Maxwell type. These type of models for non-linear elastic or inelastic interactions, have many applications in physics, dynamics of granular gases,…

Real data from applications in the survival context have required the use of more flexible models. A new four-parameter model called the Exponentiated Generalized Nadarajah-Haghighi (EGNH) distribution has been introduced in order to verify…

Transformed Generalized Autoregressive Moving Average (TGARMA) models were recently proposed to deal with non-additivity, non-normality and heteroscedasticity in real time series data. In this paper, a Bayesian approach is proposed for…

This paper considers a semiparametric generalized autoregressive conditional heteroskedasticity (S-GARCH) model. For this model, we first estimate the time-varying long run component for unconditional variance by the kernel estimator, and…

We present and investigate an extension of the classical random graph to a general class of inhomogeneous random graph models, where vertices come in different types, and the probability of realizing an edge depends on the types of its…

We review various combinatorial applications of field theoretical and matrix model approaches to equilibrium statistical physics involving the enumeration of fixed and random lattice model configurations. We show how the structures of the…