ISI/JCR

List of papers published in JCR journals by the members of ICTP (in progress).

Other papers will be added soon.

Influence of deterministic trend on the estimated parameters of GARCH(1,1) model

6 years ago

AbstractThe log returns of financial time series are usually modeled by means of the stationary GARCH(1,1) stochastic process or its…

Serial correlation of detrended time series

6 years ago

AbstractA preliminary essential procedure in time series analysis is the separation of the deterministic component from the random one. If…

Separation of components from a scale mixture of Gaussian white noises

6 years ago

AbstractThe time evolution of a physical quantity associated with a thermodynamic system whose equilibrium fluctuations are modulated in amplitude by…

Numerical demodulation of a Gaussian white noise modulated in amplitude by a deterministic volatility

6 years ago

AbstractThe Gaussian white noise modulated in amplitude is defined as the product of a Gaussian white noise and a slowly…

Intrinsic superstatistical components of financial time series

6 years ago

AbstractTime series generated by a complex hierarchical system exhibit various types of dynamics at different time scales. A financial time…

Automatic algorithm to decompose discrete paths of fractional Brownian motion into self-similar intrinsic components

6 years ago

AbstractFractional Brownian motion (fBm) is a nonstationary self-similar continuous stochastic process used to model many natural phenomena. A realization of…

Evidence for quasiperiodicity in orbital period modulation of WW Cygni

6 years ago

AbstractThe Algol type binary system WW Cygni is known to display an intricate orbital period variability phenomenon which consists in…

Analysis and generation of groundwater concentration time series

6 years ago

AbstractConcentration time series are provided by simulated concentrations of a nonreactive solute transported in groundwater, integrated over the transverse direction…

Estimating the radius of an attraction ball

7 years ago

Abstract Given a nonlinear mapping \(G:D\subseteq \mathbb{R}^n\rightarrow \mathbb{R}^n\) differentiable at a fixed point \(x^\ast\), the Ostrowski theorem offers the sharp…

The inexact, inexact perturbed and quasi-Newton methods are equivalent models

7 years ago

Abstract A classical model of Newton iterations which takes into account some error terms is given by the quasi-Newton method,…

ISI/JCR

Related Posts