We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We propose an...

We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We propose an...

We investigate a class of semiparametric ARCH(8) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We propose an...

Given an undirected network G(V, E, c) and a perfect matching M <Superscript>0</Superscript>, the inverse maximum perfect matching problem is to modify the cost vector as little as possible such that the given perfect matching M <Superscript>0</Superscript> can form a maximum perfect matching. The modification can be measured by different norms. In...</superscript></superscript>

Consider a compound Poisson process which is discretely observed with sampling interval <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$\Delta $$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi mathvariant="normal">Δ</mi> </math> </EquationSource> </InlineEquation> until exactly <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$n$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>n</mi> </math> </EquationSource> </InlineEquation> nonzero increments are obtained. The jump density and the intensity of the Poisson process are unknown. In this paper, we build and study parametric estimators...</equationsource></equationsource></inlineequation></equationsource></equationsource></inlineequation>

Environmental concerns and legislation of the water industry have recently drawn the attention of many researchers to the management, calibration and power cost reduction of water pipeline systems. Effective water system management rests upon the knowledge of the current state of a water...

Groundwater pollution sources are characterized by spatially and temporally varying source locations, injection rates, and duration of activity. Concentration measurement data at specified observation locations are generally utilized to identify these sources characteristics. Identification of...

Online appendix to Barcelona GSE Working Paper No. 684