Model of General Split-BREAK Process
Samo za registrovane korisnike
2015
Članak u časopisu (Objavljena verzija)
Metapodaci
Prikaz svih podataka o dokumentuApstrakt
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.
Ključne reči:
GSB process / STOPBREAK process / noise indicator / Split-MA process / stationarity / invertibility / parameters estimationIzvor:
REVSTAT – Statistical Journal, 06-2015, 13, 2, 145-168Izdavač:
- Portugal : Instituto Nacional de Estatística
Institucija/grupa
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 .