We study the statistics of record-breaking events in daily stock prices of 366 stocks from the Standard and Poor’s 500 stock index. Both the record events in the daily stock prices themselves and the records in the daily returns are discussed. In both cases we try to describe the record...

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

In this paper we present a general result concerning the convergence to stochastic integrals with non-linear integrands. The key finding represents a generalization of Chan and Wei's (1988) Theorem 2.4 and that of Ibragimov and Phillips' (2004) Theorem 8.2. This result is necessary for analysing...

In this paper we present a general result concerning the convergence to stochastic integrals with non-linear integrands. The key finding represents a generalization of Chan and Wei`s (1988) Theorem 2.4. and that of Ibragimov and Phillips` (2004) Theorem 8.2. This result is necessary for...

Using the martingale approach we find sufficient conditions for exponential boundedness of first passage times over a level for ergodic first order autoregressive sequences (AR(1)). Further, we prove a martingale identity and use it for obtaining explicit bounds for the expectation of exit times.

In recent years there has been an increasing awareness on problems related to the economic growth and on the conditions under which some socio-economic variables measured on European countries tend to converge over time towards a common level. This paper is concerned with the use of energy from...