This paper studies nonlinear behavior of high-frequency financial data and employs nonlinear hierarchical models for analyzing such data. We illustrate the analysis by modeling the transaction-bytransaction data of IBM stock on the New York Stock Exchange for a period of 3 months. The variables...

This paper studies nonlinear behavior of high-frequency financial data and employs nonlinear hierarchical models for analyzing such data. We illustrate the analysis by modeling the transaction-bytransaction data of IBM stock on the New York Stock Exchange for a period of 3 months. The variables...

Wind energy is becoming a top contributor to the renewable energy mix, which raises potential reliability issues for the grid due to the fluctuating nature of its source. To achieve adequate reserve commitment and to promote market participation, it is necessary to provide models that can...

Utilizing concurrent 5-minute returns, the intraday dynamics and inter-market dependencies in international equity markets were investigated. A strong intraday cyclical autocorrelation structure in the volatility process was observed to be caused by the diurnal pattern. A major rise in...

The availability of hourly wind speed data is becoming increasingly important for ensuring the proper design of wind energy conversion systems. For many sites, measured series of such high resolution are incomplete or entirely lacking; hence the need for a model for synthesizing wind speed data.

The aim of this paper is to outline the typical characteristics of the ultra-high-frequency financial data and to present estimation methods of intraday seasonality of trading activity. Ultra-high-frequency financial data (transactions data or tick-by-tick data) is defined to be a full record of...

This paper explores the ability of some popular income distributions to model observed skewness and kurtosis. We present the generalized beta type 1 (GB1) and type 2 (GB2) distributions' skewness-kurtosis spaces and clarify and expand on previously known results on other distributions'...

The dissertation considers construction of confidence intervals for a cumulative distribution function F(z) and its inverse at some fixed points z and u on the basis of an i.i.d. sample where the sample size is relatively small. The sample is modeled as having the flexible Generalized Gamma...