Related papers: Near-integrated GARCH sequences

Oscillators are ubiquitous in nature, and usually associated with the existence of an asymptotic phase that governs the long-term dynamics of the oscillator. % We show that asymptotic phase can be estimated using a carefully chosen series…

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…

We investigate the properties of a continuous time GARCH process as the solution to a L\'evy driven stochastic functional integral equation. This process occurs as a weak limit of a sequence of discrete time GARCH processes as the time…

We consider the asymptotic expansion of the functional series \[S_{\mu,\gamma}(a;\lambda)=\sum_{n=1}^\infty \frac{n^\gamma e^{-\lambda n^2/a^2}}{(n^2+a^2)^\mu}\] for real values of the parameters $\gamma$, $\lambda>0$ and $\mu\geq0$ as…

In this paper, we present some asymptotic properties of the normalized inverse-Gaussian process. In particular, when the concentration parameter is large, we establish an analogue of the empirical functional central limit theorem, the…

We study the Lambert series $\mathscr{L}_q(s,x) = \sum_{k=1}^\infty k^s q^{k x}/(1-q^k)$, for all $s \in \mathbb{C}$. We obtain the complete asymptotic expansion of $\mathscr{L}_q(s,x)$ near $q=1$. Our analysis of the Lambert series yields…

In this paper we study the asymptotic behavior of the Gaussian quasi maximum likelihood estimator of a stationary GARCH process with heavy-tailed innovations. This means that the innovations are regularly varying with index…

In this note we give a derivation of the asymptotic main term for the q-Gamma function as q approaching 1. This formula is valid on all the complex plan except at the poles of the Euler Gamma function.

Let $K,M,N$ denote three bivariate means. In the paper, the author prove the asymptotic formulas for the gamma function have the form of% \begin{equation*} \Gamma \left( x+1\right) \thicksim \sqrt{2\pi }M\left( x+\theta,x+1-\theta \right)…

In this paper we prove an asymptotic $C^{1,\gamma}$-estimate for value functions of stochastic processes related to uniformly elliptic dynamic programming principles. As an application, this allows us to pass to the limit with a discrete…

We prove that the symmetric weak GARCH limit is a geometric mean-reverting stochastic volatility process with diffusion determined by kurtosis of physical log returns; this provides an improved fit to implied volatility surfaces. When log…

Using the reflection formula of the Gamma function, we derive a new formula for the Taylor coefficients of the reciprocal Gamma function. The new formula provides effective asymptotic values for the coefficients even for very small values…

The Riemann-Siegel theta function $\vartheta(t)$ is examined for $t\to+\infty$. Use of the refined asymptotic expansion for $\log\,\g(z)$ shows that the expansion of $\vartheta(t)$ contains an infinite sequence of increasingly subdominant…

During the last decades there has been increasing interest in modeling the volatility of financial data. Several parametric models have been proposed to this aim, starting from ARCH, GARCH and their variants, but often it is hard to…

We study the asymptotic behavior of the $\nu$-symmetric Riemman sums for functionals of a self-similar centered Gaussian process $X$ with increment exponent $0<\alpha<1$. We prove that, under mild assumptions on the covariance of $X$, the…

We apply the Euler--Maclaurin formula to find the asymptotic expansion of the sums $\sum_{k=1}^n (\log k)^p / k^q$, ~$\sum k^q (\log k)^p$, ~$\sum (\log k)^p /(n-k)^q$, ~$\sum 1/k^q (\log k)^p $ in closed form to arbitrary order ($p,q…

We derive explicit asymptotic expansions of the density of the supremum of a strictly stable process when the index $\alpha$ is not rational. In the case when parameters $\alpha$ and $\rho=\p(X_1>0)$ satisfy $\rho+k=l/\alpha$ for some…

We consider a class of perpetuities which admit direct characterization of asymptotics of the key truncated moment. The class contains perpetuities without polynomial decay of tail probabilities and thus not satisfying Kesten's theorem. We…

Certain equations with integral constraints have as solutions time-periodic pulses of a field-like unknown while a current-like unknown oscillates periodically with time. A general asymptotic theory of this phenomenon, the generalized Gunn…

In this paper the class of ARCH$(\infty)$ models is generalized to the nonstationary class of ARCH$(\infty)$ models with time-varying coefficients. For fixed time points, a stationary approximation is given leading to the notation ``locally…