| dc.creator | Stojanović, Vladica S. | |
| dc.creator | Popović, Biljana Č. | |
| dc.creator | Milovanović, Gradimir V. | |
| dc.date.accessioned | 2024-02-28T11:35:45Z | |
| dc.date.available | 2024-02-28T11:35:45Z | |
| dc.date.issued | 2016 | |
| dc.identifier.issn | 0167-9473 | |
| dc.identifier.uri | https://jakov.kpu.edu.rs/handle/123456789/1638 | |
| dc.description.abstract | A modification of one of the most popular stochastic model in describing financial indexes dynamics is introduced. For describing a nonlinear behavior of volatility, a threshold noise indicator in the autoregressive time series of stochastic volatility is used. Toward this end, the model named the Split-SV model is introduced and its basic stochastic properties are investigated. Furthermore, the Empirical Characteristic Function (ECF) method is used for obtaining the parameter estimations of the model and a numerical simulation of the obtained estimates is given as well. Finally, the Split-SV model is applied for fitting the empirical data: the daily returns of the exchange rates of GBP and USD per euro. | sr |
| dc.language.iso | en | sr |
| dc.publisher | Amsterdam : Elsevier | sr |
| dc.rights | restrictedAccess | sr |
| dc.source | Computational Statistics and Data Analysis | sr |
| dc.subject | Split-SV process | sr |
| dc.subject | Noise-indicator | sr |
| dc.subject | Contaminated Gaussian distribution | sr |
| dc.subject | Convolutions | sr |
| dc.subject | empirical characteristic function estimation | sr |
| dc.title | The Split-SV model | sr |
| dc.type | article | sr |
| dc.rights.license | ARR | sr |
| dc.citation.volume | 100 | |
| dc.citation.spage | 560 | |
| dc.citation.epage | 581 | |
| dc.identifier.doi | 10.1016/j.csda.2014.08.010 | |
| dc.type.version | publishedVersion | sr |
