| bibtype |
C -
Conference Paper (international conference)
|
| ARLID |
0411503 |
| utime |
20240103182332.7 |
| mtime |
20060210235959.9 |
| ISBN |
80-88946-36-0 |
| title
(primary) (eng) |
Multiple regime-switching models in finance |
| publisher |
| place |
Bratislava |
| name |
Slovak Statistical and Demographical Society |
| pub_time |
2004 |
|
| specification |
|
| serial |
| title
|
Proceedings of the Conference PRASTAN 2004 |
| page_num |
51-60 |
| editor |
|
| editor |
|
| editor |
|
|
| title
(cze) |
Viacrežimové modely finančných časových radov |
| keyword |
time series |
| keyword |
non-linear model |
| keyword |
multiple regime-switching model |
| keyword |
LSTAR |
| keyword |
SETAR |
| 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. |
|
| author
|
| ARLID |
cav_un_auth*0015559 |
| name1 |
Bognár |
| name2 |
T. |
| country |
SK |
|
| COSATI |
12A |
| cas_special |
| project |
| project_id |
GA402/04/1026 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0001809 |
|
| research |
CEZ:AV0Z1075907 |
| abstract
(eng) |
Although many of the models commonly used in empirical finance are linear and crisp, the nature of financial data suggests that nonlinear (crisp or fuzzy) models are more appropriate. In this paper we have calculated and compared several LSTAR models for exchange rates between the Slovak Crown and Euro. Model selection has been based on measures of in-sample fit. |
| abstract
(cze) |
Väčšina modelov používaných doteraz pri modelovaní finančných časových radov je lineárnych a "ostrých" (crisp) napriek tomu, že tieto časové rady sú vo svojej podstate nelineárne (crisp alebo fuzzy). V článku sú vypočítané a porovnané viaceré nelineárne viacrežimové SETAR a LSTAR modely pre výmenný kurz Slovenskej koruny ku Euro. Výber najlepších modelov bol robený na základe informačných kritérií. |
| action |
| ARLID |
cav_un_auth*0213305 |
| name |
PRASTAN 2004 |
| place |
Kočovce |
| country |
SK |
| dates |
17.05.2004-21.05.2004 |
|
| RIV |
BA |
| reportyear |
2006 |
| department |
E |
| permalink |
http://hdl.handle.net/11104/0131583 |
| ID_orig |
UTIA-B 20050233 |
| arlyear |
2004 |
| mrcbU10 |
2004 |
| mrcbU10 |
Bratislava Slovak Statistical and Demographical Society |
| mrcbU12 |
80-88946-36-0 |
| mrcbU63 |
Proceedings of the Conference PRASTAN 2004 51 60 |
| mrcbU67 |
Kalina M. 340 |
| mrcbU67 |
Minárová M. 340 |
| mrcbU67 |
Nánásiová O. 340 |
|