Related papers: Bubble Modeling and Tagging: A Stochastic Nonlinea…
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…
Control of complex turbulent dynamical systems involving strong nonlinearity and high degrees of internal instability is an important topic in practice. Different from traditional methods for controlling individual trajectories, controlling…
Data-driven methods for modeling dynamic systems have received considerable attention as they provide a mechanism for control synthesis directly from the observed time-series data. In the absence of prior assumptions on how the time-series…
We study constant roll inflation systematically. This is a regime, in which the slow roll approximation can be violated. It has long been thought that this approximation is necessary for agreement with observations. However, recently it was…
We carry out a detailed study of dynamic multiscaling in the turbulent nonequilibrium, but statistically steady, state of the stochastically forced one-dimensional Burgers equation. We introduce the concept of $\textit{interval collapse…
Latent autoregressive processes are a popular choice to model time varying parameters. These models can be formulated as nonlinear state space models for which inference is not straightforward due to the high number of parameters. Therefore…
We propose a descriptive, realization-centred framework for detecting and characterising explosive and co-explosive behaviour in economic time series, which we term path-explosive behaviour. Departing from the data-generating-process (DGP)…
We consider a class of growth models and models of turbulence based on the randomly stirred fluid. The similarity between the predictions of these models, noted a decade earlier, is understood on the basis of a stochastic quantization…
This study introduces a novel spatial autoregressive model in which the dependent variable is a function that may exhibit functional autocorrelation with the outcome functions of nearby units. This model can be characterized as a…
This paper introduces a spatiotemporal exponential generalised autoregressive conditional heteroscedasticity (spatiotemporal E-GARCH) model, extending traditional spatiotemporal GARCH models by incorporating asymmetric volatility…
House price increases have been steady over much of the last 40 years, but there have been occasional declines, most notably in the recent housing bust that started around 2007, on the heels of the preceding housing bubble. We introduce a…
This paper proposes a semiparametric sieve approach to estimate impulse response functions of nonlinear time series within a general class of structural autoregressive models. We prove that a two-step procedure can flexibly accommodate…
The parametric behavior of regular periodic arrays of rising bubbles is investigated with the aid of 2-dimensional BGK Lattice-Boltzmann (LB) simulators. The Recursive Projection Method is implemented and coupled to the LB simulators,…
In this Note, we describe the stationary equilibria and the asymptotic behaviour of an heterogeneous logistic reaction-diffusion equation under the influence of autonomous or time-periodic forcing terms. We show that the study of the…
This paper develops a model that incorporates the presence of stochastic arbitrage explicitly in the Black--Scholes equation. Here, the arbitrage is generated by a stochastic bubble, which generalizes the deterministic arbitrage model…
Strongly nonlinear flows, which commonly arise in geophysical and engineering turbulence, are characterized by persistent and intermittent energy transfer between various spatial and temporal scales. These systems are difficult to model and…
In this paper, we study nonparametric models allowing for locally stationary regressors and a regression function that changes smoothly over time. These models are a natural extension of time series models with time-varying coefficients. We…
The growing interest in creating a parametric representation of liquid sloshing inside a container stems from its practical applications in modern engineering systems. The resonant excitation, on the other hand, can cause unstable and…
We present a simple agent-based model to study the development of a bubble and the consequential crash and investigate how their proximate triggering factor might relate to their fundamental mechanism, and vice versa. Our agents invest…
There is a growing concern in recent years over the potential formation of bubbles in the Chinese real estate market. This paper aims to conduct a series of bubble diagnostic analysis over nine representative Chinese cities from two…