| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0106365 |
| utime |
20240103173138.0 |
| mtime |
20050324235959.9 |
| title
(primary) (eng) |
New STAR models of time series and their application in finance |
| specification |
|
| serial |
| title
|
Proceedings in Computational Statistics. COMPSTAT 2004 |
| page_num |
713-720 |
| ISBN |
3-7908-1554-3 |
| publisher |
| place |
Heidelberg |
| name |
PhysicaVerlag |
| year |
2004 |
|
|
| title
(cze) |
Nové STAR-modely časových řad a jejich aplikace ve finančnictví |
| keyword |
time series |
| keyword |
regime-switching autoregressive models |
| keyword |
transition functions |
| author
(primary) |
| name1 |
Bognár |
| name2 |
T. |
| country |
SK |
| ARLID |
cav_un_auth*0015559 |
|
| author
|
| name1 |
Komorník |
| name2 |
J. |
| country |
SK |
| ARLID |
cav_un_auth*0015560 |
|
| author
|
| ARLID |
cav_un_auth*0101134 |
| name1 |
Komorníková |
| name2 |
Magda |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| COSATI |
12A |
| cas_special |
| project |
| project_id |
GA402/04/1026 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0001809 |
|
| research |
CEZ:AV0Z1075907 |
| abstract
(eng) |
In this paper, a general approach to construction of STAR models that covers both PSTAR and LSTAR classes is suggested. An interesting application to modelling exchange rates time series, where the threshold variable has delay 5 (corresponding to the number of business days in 1 week) has been found. |
| abstract
(cze) |
Je navržen obecný přístup ke konstrukci STAR-modelů a jejich jednotlivých typů. Je ukázána aplikace modelu na studium časových řad měnových kursů se zpožděnými prahovými hodnotami |
| action |
| ARLID |
cav_un_auth*0128985 |
| name |
COMPSTAT 2004. Symposium /16./ |
| place |
Prague |
| dates |
23.08.2004-27.08.2004 |
| country |
CZ |
|
| reportyear |
2005 |
| RIV |
BA |
| permalink |
http://hdl.handle.net/11104/0013547 |
| ID_orig |
UTIA-B 20040177 |
| arlyear |
2004 |
| mrcbU63 |
Proceedings in Computational Statistics. COMPSTAT 2004 3-7908-1554-3 713 720 Heidelberg PhysicaVerlag 2004 |
| mrcbU67 |
Antoch J. 340 |
|