Name
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. |
Year | DOI | Venue |
|---|---|---|
2016 | 10.1016/j.csda.2014.08.010 | Computational Statistics & Data Analysis |
Keywords | Field | DocType |
convolutions | Econometrics,Stochastic volatility,Autoregressive model,Nonlinear system,Computer simulation,Convolution,Empirical characteristic function,Stochastic modelling,Statistics,Volatility (finance),Mathematics | Journal |
Volume | Issue | ISSN |
100 | C | 0167-9473 |
Citations | PageRank | References |
0 | 0.34 | 10 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| vladica stojanovic | 1 | 0 | 0.34 |
| biljana popovic | 2 | 0 | 0.34 |
| Gradimir V. Milovanovic | 3 | 27 | 9.33 |