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.
Citation
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
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