Related papers: On the stationarity of Dynamic Conditional Correla…
It is common for long financial time series to exhibit gradual change in the unconditional volatility. We propose a new model that captures this type of nonstationarity in a parsimonious way. The model augments the volatility equation of a…
AutoRegressive Conditional Heteroscedasticity (ARCH) models are standard for modeling time series exhibiting volatility, with a rich literature in univariate and multivariate settings. In recent years, these models have been extended to…
We establish the existence and uniqueness of quasi-stationary and quasi-ergodic measures for almost surely absorbed discrete-time Markov chains under weak conditions. We obtain our results by exploiting Banach lattice properties of…
Modeling returns on large portfolios is a challenging problem as the number of parameters in the covariance matrix grows as the square of the size of the portfolio. Traditional correlation models, for example, the dynamic conditional…
Derrick's theorem on the nonexistence of stable time-independent scalar field configurations [G. H. Derrick, J. Math. Phys. 5, 1252 (1964)] is generalized to finite systems of arbitrary dimension. It is shown that the "dilation" argument…
We consider general Markov chains with discrete time in an arbitrary measurable (phase) space and homogeneous in time. Markov chains are defined by the classical transition function which within the framework of the operator treatment…
Inspired by Carrillo-Li-Wang's work [Proc. London Math. Soc., 2021] on stationary solutions to the singular Keller-Segel system, this paper presents a novel family of explicit steady-state solutions for the same model on a bounded interval,…
We consider discrete-space continuous-time Markov models of reaction networks and provide sufficient conditions for the following stability condition to hold: each state in a closed, irreducible component of the state space is positive…
In this paper, new conditions for the stability of V-geometrically ergodic Markov chains are introduced. The results are based on an extension of the standard perturbation theory formulated by Keller and Liverani. The continuity and higher…
Multiplicative and additive $D$-stability, diagonal stability, Schur $D$-stability, $H$-stability are classical concepts which arise in studying linear dynamical systems. We unify these types of stability, as well as many others, in one…
The existence of stationary distributions to distribution dependent stochastic differential equations are investigated by using the ergodicity of the associated decoupled equation and the Schauder fixed point theorem. By using Zvonkin's…
We develop a uniform test for detecting and dating explosive behavior of a strictly stationary GARCH$(r,s)$ (generalized autoregressive conditional heteroskedasticity) process. Namely, we test the null hypothesis of a globally stable GARCH…
The AutoRegressive Conditional Heteroskedasticity (ARCH) and its generalized version (GARCH) family of models have grown to encompass a wide range of specifications, each of them is designed to enhance the ability of the model to capture…
We introduce a class of Kac-like kinetic equations on the real line, with general random collisional rules, which include as particular cases models for wealth redistribution in an agent-based market or models for granular gases with a…
The differential equations with piecewise constant argument (DEPCAs, for short) is a class of hybrid dynamical systems (combining continuous and discrete). In this paper, under the assumption that the nonlinear term is partially unbounded,…
Smooth transition autoregressive models are widely used to capture nonlinearities in univariate and multivariate time series. Existence of stationary solution is typically assumed, implicitly or explicitly. In this paper we describe…
We propose a new model for nonstationary integer-valued time series which is particularly suitable for data with a strong trend. In contrast to popular Poisson-INGARCH models, but in line with classical GARCH models, we propose to pick the…
A general system of several ordinary differential equations coupled with a reaction-diffusion equation in a bounded domain with zero-flux boundary condition is studied in the context of pattern formation. These initial-boundary value…
This work is devoted to the study of modeling geophysical and financial time series. A class of volatility models with time-varying parameters is presented to forecast the volatility of time series in a stationary environment. The modeling…
The Lyapounov exponent and sharp conditions for geometric ergodicity are determined of a time series model with both a threshold autoregression term and threshold autoregressive conditional heteroscedastic (ARCH) errors. The conditions…