Brazilian Journal of Probability and Statistics
- Braz. J. Probab. Stat.
- Volume 25, Number 1 (2011), 44-63.
The Split-BREAK model
A special type of the stochastic STOPBREAK process, which behaves properly when applied to time series data with emphatic permanent fluctuations, is presented. A good dynamic behavior is induced by the threshold regime and named the Split-BREAK process. General properties of this threshold STOPBREAK process are investigated, as well as some estimation procedures for the parameters of the process presented. A Monte Carlo simulation of the process is given and its application to the share trading on the Belgrade Stock Exchange illustrated.
Braz. J. Probab. Stat., Volume 25, Number 1 (2011), 44-63.
First available in Project Euclid: 3 December 2010
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]
Stojanović, Vladica; Popović, Biljana; Popović, Predrag. The Split-BREAK model. Braz. J. Probab. Stat. 25 (2011), no. 1, 44--63. doi:10.1214/09-BJPS025. https://projecteuclid.org/euclid.bjps/1291387773