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Volatility change point detection using stochastic differential equations and time series control charts

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dc.title Volatility change point detection using stochastic differential equations and time series control charts en
dc.contributor.author Kovářík, Martin
dc.relation.ispartof International Journal of Mathematical Models and Methods in Applied Sciences
dc.identifier.issn 1998-0140 Scopus Sources, Sherpa/RoMEO, JCR
dc.date.issued 2013
utb.relation.volume 7
utb.relation.issue 2
dc.citation.spage 121
dc.citation.epage 132
dc.type article
dc.language.iso en
dc.publisher North Atlantic University Union (NAUN) en
dc.relation.uri http://www.naun.org/multimedia/NAUN/ijmmas/16-661.pdf
dc.subject Change point en
dc.subject Statistical process control en
dc.subject Stochastic differential equations en
dc.subject Time series control charts en
dc.description.abstract 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 process volatility 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 in managing financial stability of cash flows. en
utb.faculty Faculty of Management and Economics
dc.identifier.uri http://hdl.handle.net/10563/1003090
utb.identifier.obdid 43869865
utb.identifier.scopus 2-s2.0-84872164074
utb.source j-scopus
dc.date.accessioned 2013-02-02T01:12:48Z
dc.date.available 2013-02-02T01:12:48Z
utb.contributor.internalauthor Kovářík, Martin
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