TY  - JOUR
AU  - Stojanović, Vladica S.
AU  - Popović, Biljana Č.
AU  - Milovanović, Gradimir V.
PY  - 2016
UR  - https://jakov.kpu.edu.rs/handle/123456789/1638
AB  - 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.
PB  - Amsterdam : Elsevier
T2  - Computational Statistics and Data Analysis
T1  - The Split-SV model
VL  - 100
SP  - 560
EP  - 581
DO  - 10.1016/j.csda.2014.08.010
ER  - 

@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"
}

Stojanović, V. S., Popović, B. Č.,& Milovanović, G. V.. (2016). The Split-SV model. in Computational Statistics and Data Analysis
Amsterdam : Elsevier., 100, 560-581.
https://doi.org/10.1016/j.csda.2014.08.010

Stojanović VS, Popović BČ, Milovanović GV. The Split-SV model. in Computational Statistics and Data Analysis. 2016;100:560-581.
doi:10.1016/j.csda.2014.08.010 .

Stojanović, Vladica S., Popović, Biljana Č., Milovanović, Gradimir V., "The Split-SV model" in Computational Statistics and Data Analysis, 100 (2016):560-581,
https://doi.org/10.1016/j.csda.2014.08.010 . .

TY  - 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 .

TY  - JOUR
AU  - Stojanović, Vladica
AU  - Popović, Biljana
AU  - Popović, Predrag
PY  - 2014
UR  - https://jakov.kpu.edu.rs/handle/123456789/1686
AB  - We present 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. Now, the model, named the General Split- BREAK (GSB) process, is investigated in terms of its basic stochastic properties. We analyze some necessary and sufficient conditions of the existence of stationary GSB process, and we describe its correlation structure. Also, we define the sequence of the increments of the GSB process, named Split-MA process. Besides the standard investigation of stochastic properties of this process, we also give the conditions of its invertibility.
PB  - Belgrade : Mathematical Institute of the Serbian Academy of Sciences and Arts = Beograd : Matematički institut SANU
T2  - Publications de l'Institut Mathématique
T1  - Stochastic analysis of GSB process
VL  - 95
IS  - 109
SP  - 149
EP  - 159
DO  - 10.2298/PIM1409149S
ER  - 

@article{
author = "Stojanović, Vladica and Popović, Biljana and Popović, Predrag",
year = "2014",
abstract = "We present 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. Now, the model, named the General Split- BREAK (GSB) process, is investigated in terms of its basic stochastic properties. We analyze some necessary and sufficient conditions of the existence of stationary GSB process, and we describe its correlation structure. Also, we define the sequence of the increments of the GSB process, named Split-MA process. Besides the standard investigation of stochastic properties of this process, we also give the conditions of its invertibility.",
publisher = "Belgrade : Mathematical Institute of the Serbian Academy of Sciences and Arts = Beograd : Matematički institut SANU",
journal = "Publications de l'Institut Mathématique",
title = "Stochastic analysis of GSB process",
volume = "95",
number = "109",
pages = "149-159",
doi = "10.2298/PIM1409149S"
}

Stojanović, V., Popović, B.,& Popović, P.. (2014). Stochastic analysis of GSB process. in Publications de l'Institut Mathématique
Belgrade : Mathematical Institute of the Serbian Academy of Sciences and Arts = Beograd : Matematički institut SANU., 95(109), 149-159.
https://doi.org/10.2298/PIM1409149S

Stojanović V, Popović B, Popović P. Stochastic analysis of GSB process. in Publications de l'Institut Mathématique. 2014;95(109):149-159.
doi:10.2298/PIM1409149S .

Stojanović, Vladica, Popović, Biljana, Popović, Predrag, "Stochastic analysis of GSB process" in Publications de l'Institut Mathématique, 95, no. 109 (2014):149-159,
https://doi.org/10.2298/PIM1409149S . .