Volatility change point detection using stochastic differential equations and time series control charts
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F13%3A43869717" target="_blank" >RIV/70883521:28120/13:43869717 - isvavai.cz</a>
Result on the web
<a href="http://www.naun.org/multimedia/NAUN/ijmmas/16-661.pdf" target="_blank" >http://www.naun.org/multimedia/NAUN/ijmmas/16-661.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Volatility change point detection using stochastic differential equations and time series control charts
Original language description
The article focuses on volatility change point detection using SPC (Statistical Process Control), specifically through time series control charts, and stochastic differential equations (SDEs). In the paper, recent advances in timechange point for processvolatility component satisfying a stochastic differential equation (SDE) based on discrete observations and also using time series control charts will be reviewed. Theoretical part will discuss the methodology of time series control charts and SDEs driven by a Brownian motion. Research part will demonstrate the methodologies using a case study focusing on analysis of Slovak currency during the period of 2000 - 2004 from the perspective of its usefulness for generating profits for company management through time series control charts and SDEs. The aim of the paper is to demonstrate use of change point detection in time series of the Slovak crown. It also aims to highlight versatility of control charts not only in manufacturing but also
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AE - Management, administration and clerical work
OECD FORD branch
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Result continuities
Project
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Continuities
V - Vyzkumna aktivita podporovana z jinych verejnych zdroju
Others
Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
International Journal of Mathematical Models and Methods in Applied Science
ISSN
1998-0140
e-ISSN
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Volume of the periodical
7
Issue of the periodical within the volume
2
Country of publishing house
GB - UNITED KINGDOM
Number of pages
12
Pages from-to
121-132
UT code for WoS article
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EID of the result in the Scopus database
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