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Title: Optimal alarm systems for FIAPARCH processes
Author: Costa, C
Scotto, MG
Pereira, I
Keywords: FIAPARCH processes
Optimal alarm systems
Issue Date: 2010
Publisher: Instituto Nacional de Estatística
Abstract: In this work, an optimal alarm system is developed to predict whether a financial time series modeled via Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) models, up/downcrosses some particular level and give an alarm whenever this crossing is predicted. The paper presents classical and Bayesian methodology for producing optimal alarm systems. Both methodologies are illustrated and their performance compared through a simulation study. The work finishes with an empirical application to a set of data concerning daily returns of the Sao Paulo Stock Market.
Peer review: yes
ISSN: 1645-6726
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Appears in Collections:DMat - Artigos

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