Please use this identifier to cite or link to this item:
http://hdl.handle.net/10773/4425
Title: | Optimal alarm systems for FIAPARCH processes |
Author: | Costa, C Scotto, MG Pereira, I |
Keywords: | FIAPARCH processes Optimal alarm systems Econometrics |
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 |
URI: | http://hdl.handle.net/10773/4425 |
ISSN: | 1645-6726 |
Publisher Version: | http://www.ine.pt/revstat/pdf/rs100103.pdf |
Appears in Collections: | DMat - Artigos |
Files in This Item:
File | Description | Size | Format | |
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CostaScottoPereira.pdf | 248.7 kB | Adobe PDF | View/Open |
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