Usage Of Control Charts For Time Series Analysis In Financial Management

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F70883521%3A28120%2F15%3A43871859" target="_blank" >RIV/70883521:28120/15:43871859 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.3846/16111699.2012.732106" target="_blank" >http://dx.doi.org/10.3846/16111699.2012.732106</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.3846/16111699.2012.732106" target="_blank" >10.3846/16111699.2012.732106</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Usage Of Control Charts For Time Series Analysis In Financial Management

Popis výsledku v původním jazyce

We will deal with corporate financial proceeding using methods of SPC (Statistical Process Control), specifically through time series control charts. This article will outline the intersection of two disciplines: econometrics and statistical process control. The theoretical part will discuss methodology of time series control charts and in the research part the methodology will be demonstrated by means of two case studies. The first one will focus on analysis of Slovak currency in the 2000 - 2008 periodfrom the perspective of its usefulness for generating profits for company management through time series control charts. The second one involves regulation of financial flows for a heteroskedastic financial process by EWMA and ARIMA control charts. We will use Box-Jenkins methodology to find models of time series of annual Gross Domestic Product of Argentina, available as a basic index from 1951 - 1998. Based on the chosen model, we will construct control charts for volatility change po

Název v anglickém jazyce

Usage Of Control Charts For Time Series Analysis In Financial Management

Popis výsledku anglicky

We will deal with corporate financial proceeding using methods of SPC (Statistical Process Control), specifically through time series control charts. This article will outline the intersection of two disciplines: econometrics and statistical process control. The theoretical part will discuss methodology of time series control charts and in the research part the methodology will be demonstrated by means of two case studies. The first one will focus on analysis of Slovak currency in the 2000 - 2008 periodfrom the perspective of its usefulness for generating profits for company management through time series control charts. The second one involves regulation of financial flows for a heteroskedastic financial process by EWMA and ARIMA control charts. We will use Box-Jenkins methodology to find models of time series of annual Gross Domestic Product of Argentina, available as a basic index from 1951 - 1998. Based on the chosen model, we will construct control charts for volatility change po

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

<a href="/cs/project/GAP407%2F12%2F0821" target="_blank" >GAP407/12/0821: Vytvoření českého nástroje pro měření akademických tacitních znalostí</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Journal of Business Economics and Management

ISSN

1611-1699

e-ISSN

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Svazek periodika

16

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

LT - Litevská republika

Počet stran výsledku

20

Strana od-do

138-158

Kód UT WoS článku

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EID výsledku v databázi Scopus

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