Artigo De: orcid

GARCH processes and the phenomenon of misleading and unambiguous signals

Applied Stochastic Models in Business and Industry

Sousa, B.; Manuel Cabral Morais; Schmid, W.2018

Informações chave

Autores:

Sousa, B.; Manuel Cabral Morais (Manuel Cabral Morais); Okhrin, Y.; Schmid, W.

Publicado em

04/05/2018

Resumo

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.

Detalhes da publicação

Autores da comunidade :

Ligação para a versão da editora

https://onlinelibrary.wiley.com/doi/10.1002/asmb.2334

Título do contentor da publicação

Applied Stochastic Models in Business and Industry

Primeira página ou número de artigo

667

Última página

681

Volume

34

ISSN

1524-1904

Domínio Científico (FOS)

mathematics - Matemática

Idioma da publicação (código ISO)

eng - Inglês

Acesso à publicação:

Acesso Restrito