Related papers: Near-integrated GARCH sequences
We construct a new type of convergent asymptotic representations, dyadic factorial expansions. Their convergence is geometric and the region of convergence can include Stokes rays, and often extends down to 0^+. For special functions such…
An asymptotic expansion for a ratio of products of gamma functions is derived.
In this work we study complete asymptotic expansions for the q-series $\sum_{n=1}^{\infty}\frac{1}{n^{b}}q^{n^{a}}$ and $\sum_{n=1}^{\infty}\frac{\sigma_{\alpha}(n)}{n^{b}}q^{n^{a}}$ in the scale function $(\log q)^{n}$ as $q\to1^{-}$,…
In this paper we study the asymptotic behaviour of weighted random sums when the sum process converges stably in law to a Brownian motion and the weight process has continuous trajectories, more regular than that of a Brownian motion. We…
In this paper, we will develop an iterative procedure to determine the detailed asymptotic behaviour of solutions of a certain class of nonlinear vector differential equations which approach a nonlinear sink as time tends to infinity. This…
We propose a new method for obtaining complete asymptotic expansions in a systematic manner, which is suitable for counting sequences of various graph families in dense regime. The core idea is to encode the two-dimensional array of…
The AutoRegressive Conditional Heteroskedasticity (ARCH) and its generalized version (GARCH) family of models have grown to encompass a wide range of specifications, each of them is designed to enhance the ability of the model to capture…
Let $(X_k)_{k\geq1}$ be a Gaussian long-range dependent process with $EX_1=0$, $EX_1^2=1$ and covariance function $r(k)=k^{-D}L(k)$. For any measurable function $G$ let $(Y_k)_{k\geq1}=(G(X_k))_{k\geq1}$. We study the asymptotic behaviour…
The one-particle density matrix $\gamma(x, y)$ for a bound state of an atom or molecule is one of the key objects in the quantum-mechanical approximation schemes. We prove the asymptotic formula $\lambda_k \sim (Ak)^{-8/3}$, $A \ge 0$, as…
Range-measured return contains more information than the traditional scalar-valued return. In this paper, we propose to model the [low, high] price range as a random interval and suggest an interval-valued GARCH (Int-GARCH) model for the…
This paper considers the effect of least squares procedures for nearly unstable linear time series with strongly dependent innovations. Under a general framework and appropriate scaling, it is shown that ordinary least squares procedures…
In this article we study the asymptotic behaviour of the realized quadratic variation of a process $\int_{0}^{t}u_{s}dG^{H}_{s}$, where $u$ is a $\beta$-H\"older continuous process with $\beta >1-H$ and $G^H$ is a self-similar Gaussian…
We present a complete characterization of the asymptotic behaviour of a correlated Bernoulli sequence { which depends on the parameter $\theta \in [0,1]$. A martingale theory based approach will allow} us to prove versions of the law of…
For $\alpha\geq 1$, let $g:\mathbb N\to\mathbb R_+$ be given by $g(0)=0$, $g(1)=1$, $g(k)=(k/k-1)^\alpha$, $k\geq 2$. Consider the symmetric nearest neighbour zero range process on the discrete torus $\mathbb T_L$ in which a particle jumps…
We study asymptotic behaviors of positive solutions to the Yamabe equation and the $\sigma$k-Yamabe equation near isolated singular points and establish expansions up to arbitrary orders. Such results generalize an earlier pioneering work…
In this paper, we obtain asymptotic formulae on nilmanifolds $\Gamma \backslash G$, wher $G$ is any stratified (or even graded) nilpotent Lie group equipped with a co-compact discrete subgroup $\Gamma$. We study especially the asymptotics…
The asymptotic analysis of covariance parameter estimation of Gaussian processes has been subject to intensive investigation. However, this asymptotic analysis is very scarce for non-Gaussian processes. In this paper, we study a class of…
Given a group $\Gamma$, we establish a connection between the unitarisability of its uniformly bounded representations and the asymptotic behaviour of the isoperimetric constants of Cayley graphs of $\Gamma$ for increasingly large…
We establish a new asymptotic formula for the number of polynomials of degree $n$ with $k$ prime factors over a finite field $\mathbb{F}_q$. The error term tends to $0$ uniformly in $n$ and in $q$, and $k$ can grow beyond $\log n$.…
Volterra processes appear in several applications ranging from turbulence to energy finance where they are used in the modelling of e.g. temperatures and wind and the related financial derivatives. Volterra processes are in general…