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March 2011 The Split-BREAK model
Vladica Stojanović, Biljana Popović, Predrag Popović
Braz. J. Probab. Stat. 25(1): 44-63 (March 2011). DOI: 10.1214/09-BJPS025

Abstract

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.

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Vladica Stojanović. Biljana Popović. Predrag Popović. "The Split-BREAK model." Braz. J. Probab. Stat. 25 (1) 44 - 63, March 2011. https://doi.org/10.1214/09-BJPS025

Information

Published: March 2011
First available in Project Euclid: 3 December 2010

zbMATH: 1298.62158
MathSciNet: MR2746492
Digital Object Identifier: 10.1214/09-BJPS025

Subjects:
Primary: 62M10

Keywords: Noise-indicator , Split-BREAK process , Split-MA(1) process

Rights: Copyright © 2011 Brazilian Statistical Association

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Vol.25 • No. 1 • March 2011
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