Model of General Split-BREAK Process
Abstract
This paper presents a modification (and partly a generalization) of STOPBREAK process, which is the stochastic model of time series with permanent, emphatic fluctuations. The threshold regime of the process is obtained by using, so called, Noise indicator. We proceed to investigate the model which we named the General Split-BREAK (GSB) process. After brief recalling of its basic stochastic properties, we give some procedures of its parameters estimation. A Monte Carlo study of this process is also give, along with the application in the analysis of stock prices dynamics of several Serbian companies which were traded on Belgrade Stock Exchange.
Keywords:
GSB process / STOPBREAK process / noise indicator / Split-MA process / stationarity / invertibility / parameters estimationSource:
REVSTAT – Statistical Journal, 06-2015, 13, 2, 145-168Publisher:
- Portugal : Instituto Nacional de Estatística
Collections
Institution/Community
JakovTY - JOUR AU - Stojanović, Vladica AU - Popović, Biljana Č. AU - Popović, Predrag PY - 2015-06 UR - https://jakov.kpu.edu.rs/handle/123456789/1643 AB - This paper presents a modification (and partly a generalization) of STOPBREAK process, which is the stochastic model of time series with permanent, emphatic fluctuations. The threshold regime of the process is obtained by using, so called, Noise indicator. We proceed to investigate the model which we named the General Split-BREAK (GSB) process. After brief recalling of its basic stochastic properties, we give some procedures of its parameters estimation. A Monte Carlo study of this process is also give, along with the application in the analysis of stock prices dynamics of several Serbian companies which were traded on Belgrade Stock Exchange. PB - Portugal : Instituto Nacional de Estatística T2 - REVSTAT – Statistical Journal T1 - Model of General Split-BREAK Process VL - 13 IS - 2 SP - 145 EP - 168 UR - https://hdl.handle.net/21.15107/rcub_jakov_1643 ER -
@article{ author = "Stojanović, Vladica and Popović, Biljana Č. and Popović, Predrag", year = "2015-06", abstract = "This paper presents a modification (and partly a generalization) of STOPBREAK process, which is the stochastic model of time series with permanent, emphatic fluctuations. The threshold regime of the process is obtained by using, so called, Noise indicator. We proceed to investigate the model which we named the General Split-BREAK (GSB) process. After brief recalling of its basic stochastic properties, we give some procedures of its parameters estimation. A Monte Carlo study of this process is also give, along with the application in the analysis of stock prices dynamics of several Serbian companies which were traded on Belgrade Stock Exchange.", publisher = "Portugal : Instituto Nacional de Estatística", journal = "REVSTAT – Statistical Journal", title = "Model of General Split-BREAK Process", volume = "13", number = "2", pages = "145-168", url = "https://hdl.handle.net/21.15107/rcub_jakov_1643" }
Stojanović, V., Popović, B. Č.,& Popović, P.. (2015-06). Model of General Split-BREAK Process. in REVSTAT – Statistical Journal Portugal : Instituto Nacional de Estatística., 13(2), 145-168. https://hdl.handle.net/21.15107/rcub_jakov_1643
Stojanović V, Popović BČ, Popović P. Model of General Split-BREAK Process. in REVSTAT – Statistical Journal. 2015;13(2):145-168. https://hdl.handle.net/21.15107/rcub_jakov_1643 .
Stojanović, Vladica, Popović, Biljana Č., Popović, Predrag, "Model of General Split-BREAK Process" in REVSTAT – Statistical Journal, 13, no. 2 (2015-06):145-168, https://hdl.handle.net/21.15107/rcub_jakov_1643 .