Related papers: Smooth Transition HYGARCH Model: Stability and For…
Financial data are as a rule asymmetric, although most econometric models are symmetric. This applies also to continuous-time models for high-frequency and irregularly spaced data. We discuss some asymmetric versions of the continuous-time…
Generating synthetic financial time series that preserve the statistical properties of real market data is essential for stress testing, risk model validation, and scenario design. Existing approaches struggle to simultaneously reproduce…
Discrete event systems are present both in observations of nature, socio economical sciences, and industrial systems. Standard analysis approaches do not usually exploit their dual event / state nature: signals are either modeled as…
It is widely accepted that there is strong persistence in the volatility of financial time series. The origin of the observed persistence, or long-range memory, is still an open problem as the observed phenomenon could be a spurious effect.…
Price range contains important information about the asset volatility, and has long been considered an important indicator for it. In this paper, we propose to jointly model the [low, high] price range as a random interval and introduce an…
We consider the problem of modeling high-speed flows using machine learning methods. While most prior studies focus on low-speed fluid flows in which uniform time-stepping is practical, flows approaching and exceeding the speed of sound…
Volatility clustering is an important characteristic that has a significant effect on the behavior of stock markets. However, designing robust models for accurate prediction of future volatilities of stock prices is a very challenging…
This paper studies the joint inference on conditional volatility parameters and the innovation moments by means of bootstrap to test for the existence of moments for GARCH(p,q) processes. We propose a residual bootstrap to mimic the joint…
In this paper, we consider three stochastic-volatility models, each characterized by distinct dynamics of instantaneous volatility: (1) a CIR process for squared volatility (i.e., the classical Heston model); (2) a mean-reverting lognormal…
We present a novel approach to investigate the long-time stochastic dynamics of multi-dimensional classical systems, in contact with a heat-bath. When the potential energy landscape is rugged, the kinetics displays a decoupling of short and…
This paper offers a new approach to modeling and forecasting of nonstationary time series with applications to volatility modeling for financial data. The approach is based on the assumption of local homogeneity: for every time point, there…
We propose a new procedure to monitor and forecast the onset of transitions in high dimensional complex systems. We describe our procedure by an application to the Tangled Nature model of evolutionary ecology. The quasi-stable…
In many applications, data are observed as matrices with temporal dependence. Matrix-variate time series modeling is a new branch of econometrics. Although stylized facts in several fields, the existing models do not account for regime…
We consider the estimation of the transition matrix in the high-dimensional time-varying vector autoregression (TV-VAR) models. Our model builds on a general class of locally stationary VAR processes that evolve smoothly in time. We propose…
Accurate volatility forecasting is essential in banking, investment, and risk management, because expectations about future market movements directly influence current decisions. This study proposes a hybrid modelling framework that…
The task of video prediction and generation is known to be notoriously difficult, with the research in this area largely limited to short-term predictions. Though plagued with noise and stochasticity, videos consist of features that are…
The Hawkes model is suitable for describing self and mutually exciting random events. In addition, the exponential decay in the Hawkes process allows us to calculate the moment properties in the model. However, due to the complexity of the…
We consider a change-point test based on the Hill estimator to test for structural changes in the tail index of Long Memory Stochastic Volatility time series. In order to determine the asymptotic distribution of the corresponding test…
Continuous-time stochastic systems have attracted a lot of attention recently, due to their wide-spread use in finance for modelling price-dynamics. More recently models taking into accounts shocks have been developed by assuming that the…
Two dimensional stochastic time model of scrape-off layer (SOL) turbulent transport is studied. Instability arisen in the system with respect to the stochastic perturbations of both either density or vorticity reveals itself in the strong…