Related papers: Near-integrated GARCH sequences

In this paper, we develop Windschitl's approximation formula for the gamma function to two asymptotic expansions by using a little known power series. In particular, for $n\in \mathbb{N}$ with $n\geq 4$, we have \begin{equation*} \Gamma…

It is well known that the inverse function of y = x with the derivative y' = 1 is x = y, the inverse function of y = c with the derivative y' = 0 is inexistent, and so on. Hence, on the assumption that the noninvertibility of the univariate…

In this article we study asymptotic properties of certain discrete groups $\Gamma$ acting by isometries on a product $\XX=\XX_1\times \XX_2$ of locally compact Hadamard spaces. The motivation comes from the fact that Kac-Moody groups over…

For $\{X(t), t \in G_\delta\}$ a centered Gaussian process with stationary increments and a.s. sample paths on a discrete grid $G_\delta=\{0,\delta,2\delta, ...\}$, where $\delta>0$, we investigate the stationary reflected process…

Consider a critical Galton-Watson process Z={Z_n: n=0,1,...} of index 1+alpha, alpha in (0,1]. Let S_k(j) denote the sum of the Z_n with n in the window [k,...,k+j), and M_m(j) the maximum of the S_k with k moving in [0,m-j]. We describe…

The log returns of financial time series are usually modeled by means of the stationary GARCH(1,1) stochastic process or its generalizations which can not properly describe the nonstationary deterministic components of the original series.…

The goal of this expository article is a fairly self-contained account of some averaging processes of functions along sequences of the form $(\alpha^n x)^{}_{n\in\mathbb{N}}$, where $\alpha$ is a fixed real number with $| \alpha | > 1$ and…

Let $\sum_{\beta\in\nats^d} F_\beta x^\beta$ be a multivariate power series. For example $\sum F_\beta x^\beta$ could be a generating function for a combinatorial class. Assume that in a neighbourhood of the origin this series represents a…

We provide a generalization of Theorem 1 in Bartkiewicz, Jakubowski, Mikosch and Wintenberger (2011) in the sense that we give sufficient conditions for weak convergence of finite dimensional distributions of the partial sum processes of a…

In this note, by using the result in one variable, we obtain asymptotic expansions of oscillatory integrals for certain multivariable phase functions with {\bf degenerate} singular points. Moreover by using this result, we have asymptotic…

For "almost all" sufficiently large $N,$ satisfying necessary congruence conditions and $k\geq 2$, we show that there is an {\bf asymptotic formula} for the number of solutions of the equation \begin{align*} \begin{split}…

We propose a panel ARMA-GARCH model to capture the dynamics of large panel data with $N$ individuals over $T$ time periods. For this model, we provide a two-step estimation procedure to estimate the ARMA parameters and GARCH parameters…

We investigate the asymptotic behavior of the Selberg-like integral $$ \frac1{N!}\int_{[0,1]^N}x_1^p\prod_{i<j}(x_i-x_j)^2\prod_ix_i^{a-1}(1-x_i)^{b-1}dx_i$$, as $N\to\infty$ for different scalings of the parameters $a$ and $b$ with $N$.…

We study the asymptotic behaviour of sequences of integral functionals depending on moving anisotropies. We introduce and describe the relevant functional setting, establishing uniform Meyers-Serrin type approximations, Poincar\'e…

We consider the asymptotic expansion for $x\to\pm\infty$ of the entire function \[F_{n,\sigma}(x;\mu)=\sum_{k=0}^\infty \frac{\sin\,(n\gamma_k)}{\sin \gamma_k}\,\frac{x^k}{k! \Gamma(\mu-\sigma k)},\quad \gamma_k=\frac{(k+1)\pi}{2n}\] for…

We introduce a gamma function $\Ga(x,z)$ in two complex variables which extends the classical gamma function $\Ga(z)$ in the sense that $\lim_{x\to 1}\Ga(x,z)=\Ga(z)$. We will show that many properties which $\Ga(z)$ enjoys extend in a…

This paper introduces a unified approach for modeling high-frequency financial data that can accommodate both the continuous-time jump-diffusion and discrete-time realized GARCH model by embedding the discrete realized GARCH structure in…

Landau's well known asymptotic formula $$N_k(x):=\ \mid\{n\leq x : \Omega(n)=k\}\mid \ \sim \left( \frac{x}{\log x} \right) \frac{(\log\log x)^{k-1}}{(k - 1)!}\ \ (x \rightarrow \infty),$$ which also holds for $$\pi_k(x):=\ \mid\{n\leq x :…

It is shown explicitly how self-similar graphs can be obtained as `blow-up' constructions of finite cell graphs $\hat C$. This yields a larger family of graphs than the graphs obtained by discretising continuous self-similar fractals. For a…

We present several formulae for the large $t$ asymptotics of the Riemann zeta function $\zeta(s)$, $s=\sigma+i t$, $0\leq \sigma \leq 1$, $t>0$, which are valid to all orders. A particular case of these results coincides with the classical…