Related papers: Chaos in Fractionally Integrated Generalized Autor…
In this study, we develop a unified volatility modeling framework that embeds GARCH dynamics directly within recurrent neural networks. We propose two interpretable hybrid architectures, GARCH-GRU and GARCH-LSTM, that integrate the…
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…
This paper introduces a new periodic fractional autoregressive process (PFAR) driven by fractional Gaussian noise (fGn) to model time series of precipitation evapotranspiration. Compared with the similar model in [\emph{Water Resources…
This paper is devoted to show the results obtained by using the magnitude-squared coherence for determining order-chaos transition in a system described by the logistic equation dynamics. For determining the power spectral density of a…
The space-fractional and the time-fractional Poisson processes are two well-known models of fractional evolution. They can be constructed as standard Poisson processes with the time variable replaced by a stable subordinator and its…
Gas-solid multiphase flows are prone to develop an instability known as clustering. Two-fluid models, which treat the particulate phase as a continuum, are known to reproduce the qualitative features of this instability, producing…
We provide new, mild conditions for strict stationarity and ergodicity of a class of BEKK processes. By exploiting that the processes can be represented as multivariate stochastic recurrence equations, we characterize the tail behavior of…
This paper investigates the role of high-dimensional information sets in the context of Markov switching models with time varying transition probabilities. Markov switching models are commonly employed in empirical macroeconomic research…
This paper develops the limit theory of the GARCH(1,1) process that moderately deviates from IGARCH process towards both stationary and explosive regimes. The GARCH(1,1) process is defined by equations $u_t = \sigma_t \varepsilon_t$,…
Recent studies have extensively explored chaotic dynamics in quantum optical systems through the mean-field approximation, which corresponds to an ideal, fluctuation-free scenario. However, the inherent sensitivity of chaos to initial…
A new multivariate stochastic volatility estimation procedure for financial time series is proposed. A Wishart autoregressive process is considered for the volatility precision covariance matrix, for the estimation of which a two step…
Although there are many methods for functional data analysis (FDA), little emphasis is put on characterizing variability among volatilities of individual functions. In particular, certain individuals exhibit erratic swings in their…
In this paper, non-linear time series models are used to describe volatility in financial time series data. To describe volatility, two of the non-linear time series are combined into form TAR (Threshold Auto-Regressive Model) with AARCH…
Turbulent dynamical systems are characterized by nonlinear interactions and stochastic effects that generate coupled statistical quantities, such as non-zero higher-order moments, which are difficult to capture from data with accuracy. We…
Although stochastic volatility and GARCH (generalized autoregressive conditional heteroscedasticity) models have successfully described the volatility dynamics of univariate asset returns, extending them to the multivariate models with…
The characterization of intermittency in turbulence has its roots in the K62 theory, and if no proper definition is to be found in the literature, statistical properties of intermittency were studied and models were developed in attempt to…
Synchronization of fractional-order chaotic systems is a hot topic in the field of nonlinear study. The co-coupled synchronization between two fractional-order chaotic systems with different initial conditions is investigated in this paper.…
We show that the Lagrangian flow associated with the stochastic 3D primitive equations (PEs) with non-degenerate noise is chaotic, i.e., the corresponding top Lyapunov exponent is strictly positive almost surely. This result builds on the…
In this paper, synchronization of fractional order Coullet system with precise and also unknown parameters are studied. The proposed method which is based on the adaptive backstepping, has been developed to synchronize two chaotic systems…
We provide Lyapunov-like characterizations of boundedness and convergence of non-trivial solutions for a class of systems with unstable invariant sets. Examples of systems to which the results may apply include interconnections of stable…