The aim of this paper is to identify whether the GARCH or the SV based models provide the best goodness of fit to financial time-series data. To investigate the issue, three different formulations for each type (i.e., the standard model, the fat-tailed model, and the asymmetric model) are...

The aim of this paper is to identify which model, between the two classes of conditionalvariance models, GARCH and SV, provide the best goodness of fit in order to describestylized facts of financial time series returns. Our strategy consists in choosing threedifferent formulations for each...

The study of avalanche events is particularly important to assess and predict the degree of risk involved in a given area and time. In this work we consider an alternative methodology based on a space-time point process where the intensity function indicates the limiting expected rate of...

A wavelet-based spectral method for estimating the (directional) Hurst parameter in isotropic and anisotropic non-stationary fractional Gaussian fields is proposed. The method can be applied to self-similar images and, in general, to d-dimensional data which scale. In the application part, the...