Article In: orcid
GARCH processes and the phenomenon of misleading and unambiguous signals
Applied Stochastic Models in Business and Industry
— 2018
Key information
Authors:
Published in
05/04/2018
Abstract
In Finance it is quite usual to assume that a process behaves according to a previously specified target GARCH process. The impact of rumours or other events on this process can be frequently described by an outlier responsible for a short-lived shift in the process mean or by a sustained change in the process variance. This calls for the use of joint schemes for the process mean and variance. Since changes in the mean and in the variance require different actions from the traders/brokers, this paper provides an account on the probabilities of misleading and unambiguous signals (PMS and PUNS) of those joint schemes, thus adding insights on their out-of-control performance.
Publication details
Authors in the community:
Manuel Cabral Morais
ist13114
Link to the publisher's version
https://onlinelibrary.wiley.com/doi/10.1002/asmb.2334
Title of the publication container
Applied Stochastic Models in Business and Industry
First page or article number
667
Last page
681
Volume
34
ISSN
1524-1904
Fields of Science and Technology (FOS)
mathematics - Mathematics
Publication language (ISO code)
eng - English
Rights type:
Restricted access