Artigo De: orcid
GARCH processes and the phenomenon of misleading and unambiguous signals
Applied Stochastic Models in Business and Industry
2018
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Autores:
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 :
Manuel Cabral Morais
ist13114
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