bibtype |
C -
Conference Paper (international conference)
|
ARLID |
0411482 |
utime |
20240103182330.9 |
mtime |
20060210235959.9 |
ISBN |
84-7653-872-3 |
title
(primary) (eng) |
Application of aggregation operators in regime-switching models for exchange rates |
publisher |
place |
Barcelona |
name |
Universitat Politechnica de Catalunya |
pub_time |
2005 |
|
specification |
|
serial |
title
|
Joint EUSFLAT-LFA 2005. Conference Proceedings |
page_num |
1297-1300 |
editor |
|
editor |
name1 |
Sobrevillo |
name2 |
P. |
|
|
title
(cze) |
Aplikácia agregačných operátorov v modeloch s premenlivými režimami pre časové rady výmenných kurzov |
keyword |
time series |
keyword |
regime-switching models |
keyword |
aggregation operators |
keyword |
in-sample and out-of-sample fitting |
author
(primary) |
ARLID |
cav_un_auth*0015560 |
name1 |
Komorník |
name2 |
J. |
country |
SK |
|
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:AV0Z10750506 |
abstract
(eng) |
The goal of this paper is to provide a comprehensive exposition of the new method of construction of regime-switching models based on utilization of aggregation operators and mainly to explore their usability in practical modelling (using the time series of exchange rates of the Slovak Crown to Euro). We conclude that the new models exhibit superior in-sample as well as out-of-sample fitting performance in comparison with models based on more standard approaches to time series analysis. |
abstract
(cze) |
V článku je uvedený podrobný popis novej metódy konštrukcie modelov s premenlivými režimami založenej na využití agregačných operátorov v prepínacom mechanizme medzi jednotlivými režimami, čím sa otvoril priestor pre použitie viacerých premenných v rozhodovacom procese. Metóda je odskúšaná na časovom rade výmenného kurzu SKK/Euro. Ukázali sme, že nová metóda vykazuje najlepšie predikčné schopnosti v porovnaní s doteraz používanými modelmi. |
action |
ARLID |
cav_un_auth*0213280 |
name |
Joint EUSFLAT-LFA 2005 |
place |
Barcelona |
country |
ES |
dates |
07.09.2005-09.09.2005 |
|
RIV |
BA |
reportyear |
2006 |
department |
E |
permalink |
http://hdl.handle.net/11104/0131562 |
ID_orig |
UTIA-B 20050212 |
arlyear |
2005 |
mrcbU10 |
2005 |
mrcbU10 |
Barcelona Universitat Politechnica de Catalunya |
mrcbU12 |
84-7653-872-3 |
mrcbU63 |
Joint EUSFLAT-LFA 2005. Conference Proceedings 1297 1300 |
mrcbU67 |
Montseny E. 340 |
mrcbU67 |
Sobrevillo P. 340 |
|