Related papers: On the stationarity of Dynamic Conditional Correla…
We study the problem of stationarity and ergodicity for autoregressive multinomial logistic time series models which possibly include a latent process and are defined by a GARCH-type recursive equation. We improve considerably upon the…
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…
A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and $\beta$-mixing solution is established under a mild assumption on the density of the underlying independent process. We give…
We study ergodic properties of nonlinear Markov chains and stochastic McKean-Vlasov equations. For nonlinear Markov chains we obtain sufficient conditions for existence and uniqueness of an invariant measure and uniform ergodicity. We also…
We prove existence and uniqueness of a stationary distribution and absolute regularity for nonlinear GARCH and INGARCH models of order (p,q). In contrast to previous work we impose, besides a geometric drift condition, only a…
We consider a discrete time hidden Markov model where the signal is a stationary Markov chain. When conditioned on the observations, the signal is a Markov chain in a random environment under the conditional measure. It is shown that this…
The first motivation of this paper is to study stationarity and ergodic properties for a general class of time series models defined conditional on an exogenous covariates process. The dynamic of these models is given by an autoregressive…
We consider a random walk on a discrete connected graph having some infinite branches plus finitely many vertices with finite degrees. We find the generator of a strong stationary dual in the sense of Fill, and use it to find some…
In a previous paper we determined one dimensional distributions of a stationary field with linear regressions and quadratic conditional variances under a linear constraint on the coefficients of the quadratic expression. In this paper we…
Systems consisting of a single ordinary differential equation coupled with one reaction-diffusion equation in a bounded domain and with the Neumann boundary conditions are studied in the case of particular nonlinearities from the…
Conditions for the existence of strictly stationary multivariate GARCH processes in the so-called BEKK parametrisation, which is the most general form of multivariate GARCH processes typically used in applications, and for their geometric…
We study the limit behaviour of a generally non-linear ordinary differential equation whose solution is a superadditive generalisation of a stochastic matrix, and provide necessary and sufficient conditions for this solution to be ergodic,…
There is a serious and long-standing restriction in the literature on heavy-tailed phenomena in that moment conditions, which are unrealistic, are almost always assumed in modelling such phenomena. Further, the issue of stability is often…
In the present work, we introduce a discrete formulation of the nonlinear Dirac equation in the form of a discretization of the Gross-Neveu model. The motivation for this discrete model proposal is both computational (near the continuum…
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…
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 a systematic approach to stable central limit theorems for d-dimensional martingale difference arrays and martingale difference sequences. The conditions imposed are straightforward extensions of the univariate case.
Due to added numerical stabilization (diffusion), the stationary states of numerical methods for hyperbolic problems need not be consistent discretizations of those of the PDEs. A closely related phenomenon is the lack of consistency of…
In this paper, we present a general framework for constructively proving the existence and stability of stationary localized 1D solutions and saddle-node bifurcations in activator--inhibitor systems using computer-assisted proofs.…
Matrix-variate time series data are largely available in applications. However, no attempt has been made to study their conditional heteroskedasticity that is often observed in economic and financial data. To address this gap, we propose a…