TY  - JOUR
AU  - Stojanović, Vladica
AU  - Milovanović, Gradimir V.
AU  - Jelić, Gordana
PY  - 2016
UR  - https://jakov.kpu.edu.rs/handle/123456789/1685
AB  - A general type of a Split-BREAK process with Gaussian innovations (henceforth, Gaussian Split-BREAK or GSB process) is considered. The basic stochastic properties of the model are studied and its characteristic function derived. A procedure to estimate the parameter of the GSB model based on the Empirical Characteristic Function (ECF) is proposed. Our simulations suggest that the proposed method performs well compared to a Method of Moment procedure used as benchmark. The empirical use of the GSB model is illustrated with an application to the time series of total values of shares traded at Belgrade Stock Exchange.
PB  - Beachwood : Institute of Mathematical Statistics
T2  - Alea : Latin American journal of probability and mathematical statistics
T1  - Distributional properties and parameters estimation of GSB Process: An approach based on characteristic functions
VL  - 13
IS  - 2
SP  - 853
EP  - 861
DO  - 10.30757/ALEA.v13-33
ER  - 

@article{
author = "Stojanović, Vladica and Milovanović, Gradimir V. and Jelić, Gordana",
year = "2016",
abstract = "A general type of a Split-BREAK process with Gaussian innovations (henceforth, Gaussian Split-BREAK or GSB process) is considered. The basic stochastic properties of the model are studied and its characteristic function derived. A procedure to estimate the parameter of the GSB model based on the Empirical Characteristic Function (ECF) is proposed. Our simulations suggest that the proposed method performs well compared to a Method of Moment procedure used as benchmark. The empirical use of the GSB model is illustrated with an application to the time series of total values of shares traded at Belgrade Stock Exchange.",
publisher = "Beachwood : Institute of Mathematical Statistics",
journal = "Alea : Latin American journal of probability and mathematical statistics",
title = "Distributional properties and parameters estimation of GSB Process: An approach based on characteristic functions",
volume = "13",
number = "2",
pages = "853-861",
doi = "10.30757/ALEA.v13-33"
}

Stojanović, V., Milovanović, G. V.,& Jelić, G.. (2016). Distributional properties and parameters estimation of GSB Process: An approach based on characteristic functions. in Alea : Latin American journal of probability and mathematical statistics
Beachwood : Institute of Mathematical Statistics., 13(2), 853-861.
https://doi.org/10.30757/ALEA.v13-33

Stojanović V, Milovanović GV, Jelić G. Distributional properties and parameters estimation of GSB Process: An approach based on characteristic functions. in Alea : Latin American journal of probability and mathematical statistics. 2016;13(2):853-861.
doi:10.30757/ALEA.v13-33 .

Stojanović, Vladica, Milovanović, Gradimir V., Jelić, Gordana, "Distributional properties and parameters estimation of GSB Process: An approach based on characteristic functions" in Alea : Latin American journal of probability and mathematical statistics, 13, no. 2 (2016):853-861,
https://doi.org/10.30757/ALEA.v13-33 . .

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  - Milovanović, Gradimir V.
AU  - Joksimović, Dušan
PY  - 2013
UR  - http://jakov.kpu.edu.rs/handle/123456789/1524
AB  - The paper deals with three-term recurrence relations for Boubaker and related polynomi-
als, as well as some properties including zero distribution of such kinds of polynomials.
Also, an application of these polynomials for obtaining approximate analytical solution
of Love’s integral equation is presented. This Fredholm integral equation of the second kind
appeared in an electrostatic problem analyzed for the first time by Love (1949).
PB  - New York : Elsevier
T2  - Applied Mathematics and Computation
T1  - Properties of Boubaker polynomials and an application to Love’s integral equation
VL  - 224
SP  - 74
EP  - 87
DO  - https://doi.org/10.1016/j.amc.2013.08.055
ER  - 

@article{
author = "Milovanović, Gradimir V. and Joksimović, Dušan",
year = "2013",
abstract = "The paper deals with three-term recurrence relations for Boubaker and related polynomi-
als, as well as some properties including zero distribution of such kinds of polynomials.
Also, an application of these polynomials for obtaining approximate analytical solution
of Love’s integral equation is presented. This Fredholm integral equation of the second kind
appeared in an electrostatic problem analyzed for the first time by Love (1949).",
publisher = "New York : Elsevier",
journal = "Applied Mathematics and Computation",
title = "Properties of Boubaker polynomials and an application to Love’s integral equation",
volume = "224",
pages = "74-87",
doi = "https://doi.org/10.1016/j.amc.2013.08.055"
}

Milovanović, G. V.,& Joksimović, D.. (2013). Properties of Boubaker polynomials and an application to Love’s integral equation. in Applied Mathematics and Computation
New York : Elsevier., 224, 74-87.
https://doi.org/https://doi.org/10.1016/j.amc.2013.08.055

Milovanović GV, Joksimović D. Properties of Boubaker polynomials and an application to Love’s integral equation. in Applied Mathematics and Computation. 2013;224:74-87.
doi:https://doi.org/10.1016/j.amc.2013.08.055 .

Milovanović, Gradimir V., Joksimović, Dušan, "Properties of Boubaker polynomials and an application to Love’s integral equation" in Applied Mathematics and Computation, 224 (2013):74-87,
https://doi.org/https://doi.org/10.1016/j.amc.2013.08.055 . .