@article{
author = "Stojanović, Vladica S. and Popović, Biljana Č. and Milovanović, Gradimir V.",
year = "2016",
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.",
publisher = "Amsterdam : Elsevier",
journal = "Computational Statistics and Data Analysis",
title = "The Split-SV model",
volume = "100",
pages = "560-581",
doi = "10.1016/j.csda.2014.08.010"
}