Related papers: On generalized ARCH model with stationary liquidit…
We study the general formalism of polytropes in relativistic regime with generalized polytropic equations of state in the vicinity of cylindrical symmetry. We take charged anisotropic fluid distribution of matter with conformally flat…
We provide a closed-form estimator based on the VARMA representation for the unrestricted multivariate GARCH(1,1). We show that all parameters can be derived using basic linear algebra tools. We show that the estimator is consistent and…
Linear ARCH (LARCH) processes were introduced by Robinson [J. Econometrics 47 (1991) 67--84] to model long-range dependence in volatility and leverage. Basic theoretical properties of LARCH processes have been investigated in the recent…
The hopping motion of classical particles on a chain coupled to reservoirs at both ends is studied for parallel dynamics with arbitrary probabilities. The stationary state is obtained in the form of an alternating matrix product. The…
We propose a procedure to decide between the null hypothesis of (strict) stationarity and the alternative of non-stationarity, in the context of a Random Coefficient AutoRegression (RCAR). The procedure is based on randomising a diagnostic…
The aim of this paper is to provide conditions which ensure that the affinely transformed partial sums of a strictly stationary process converge in distribution to an infinite variance stable distribution. Conditions for this convergence to…
We develop a comprehensive continuum model capable of treating both electrostatic and structural interactions in liquid dielectrics. Starting from a two-order parameter description in terms of charge density and polarization, we derive a…
We establish innovative liquidity premium measures, and construct liquidity-adjusted return and volatility to model assets with extreme liquidity, represented by a portfolio of selected crypto assets, and upon which we develop a set of…
This work is an extension in Arch models of the theorem of S.Y. Hwang and I.V. Basawa Hwang and Basawa (2001) which was used before in nonlinear time series contiguous to AR(1) processes. Our results are established under some general…
This paper aims to review the methodology behind the generalized linear models which are used in analyzing the actuarial situations instead of the ordinary multiple linear regression. We introduce how to assess the adequacy of the model…
In this paper, we apply the recently developed generalized parameter estimation-based observer design technique for state-affine systems to the practically important case of linear time-varying descriptor systems with uncertain parameters.…
We present a universal approach to the investigation of the dynamics in generalized models. In these models the processes that are taken into account are not restricted to specific functional forms. Therefore a single generalized models can…
We develop an estimator for the high-dimensional covariance matrix of a locally stationary process with a smoothly varying trend and use this statistic to derive consistent predictors in non-stationary time series. In contrast to the…
Generalized Navier-Stokes equations which were proposed recently to describe active turbulence in living fluids are analyzed rigorously. Results on wellposedness and stability in the $L^2(\mathbb{R}^n)$-setting are derived. Due to the…
Irregularly sampled AR(1) processes appear in many computationally demanding applications. This text provides an analytical expression for the precision matrix of such a process, and gives efficient algorithms for density evaluation and…
We present a method of parameter estimation for large class of nonlinear systems, namely those in which the state consists of output derivatives and the flow is linear in the parameter. The method, which solves for the unknown parameter by…
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 derive mixing properties for a broad class of Poisson count time series satisfying a certain contraction condition. Using specific coupling techniques, we prove absolute regularity at a geometric rate not only for stationary…
For Markov processes with absorption, we provide general criteria ensuring the existence and the exponential non-uniform convergence in total variation norm to a quasi-stationary distribution. We also characterize a subset of its domain of…
Volatility clustering and spillovers are key features of real-world financial time series when there are a lot of cross-sectional financial assets. While network analysis helps connect stocks that are 'similar' or 'correlated', which is…