51 citations · 94 across the 2 of their papers we have counts for
3 papers
Normalized least-squares estimation in time-varying ARCH models
Piotr Fryzlewicz, Theofanis Sapatinas, Suhasini Subba Rao
We investigate the time-varying ARCH (tvARCH) process. It is shown that it can be used to describe the slow decay of the sample autocorrelations of the squared returns often observ…
Functional deconvolution in a periodic setting: Uniform case
Marianna Pensky, Theofanis Sapatinas
We extend deconvolution in a periodic setting to deal with functional data. The resulting functional deconvolution model can be viewed as a generalization of a multitude of inverse…
A Functional Wavelet-Kernel Approach for Continuous-time Prediction
Anestis Antoniadis, Efstathios Paparoditis, Theofanis Sapatinas
We consider the prediction problem of a continuous-time stochastic process on an entire time-interval in terms of its recent past. The approach we adopt is based on functional kern…