We consider a numerical approach for the solution of a difficult class of optimization problems called mathematical programs with vanishing constraints. The basic idea is to reformulate the characteristic constraints of the program via a nonsmooth function and to eventually smooth it and...

In this paper we introduce a new class of covariance stationary long-memory models on the positive half-line. The overall structure of the models is related to that of GARCH processes of Engle (1982) and Bollerslev (1986), whereby sequence of random variables of interest have multiplicative...

In this paper we introduce a new class of covariance stationary long-memory models on the positive half-line. The overall structure of the models is related to that of GARCH processes of Engle (1982) and Bollerslev (1986), whereby sequence of random variables of interest have multiplicative...