About: Effects of Interventions and Outliers on Mean Function and Volatility in Currency Exchange Rates

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Attributes	Values
rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://www.mme2014.upol.cz/conference-proceedings
Description	Stochastic time series frequently incorporate information from the outside world. The exterior information may sometimes generate extreme observations at one or several positions, which behave as outliers. Presence of outliers negatively influences estimation of parameters in time series models. Especially, the error variance may be poorly estimated. In other situations, time series may be affected by external shocks, i.e. interventions, as a result of natural disasters, introduction of new technologies, altered legislation or due to realization of political decisions. The interventions may alter the mean function and (or) volatility in time series. This study demonstrates use of ARIMAX models in detection and testing of additive and innovative outliers together with estimating the dynamic effects and effects of known external interventions in currency exchange rates. Also, GARCH models of conditional volatility were constructed to show evidence of a significant reduction in volatility in the post intervention period in CZK/EUR and CZK/GBP rates. It is hypothesized that knowledge of the intervention in the foreign exchange market increased awareness about future value of exchange rates and led to lower volatility. Stochastic time series frequently incorporate information from the outside world. The exterior information may sometimes generate extreme observations at one or several positions, which behave as outliers. Presence of outliers negatively influences estimation of parameters in time series models. Especially, the error variance may be poorly estimated. In other situations, time series may be affected by external shocks, i.e. interventions, as a result of natural disasters, introduction of new technologies, altered legislation or due to realization of political decisions. The interventions may alter the mean function and (or) volatility in time series. This study demonstrates use of ARIMAX models in detection and testing of additive and innovative outliers together with estimating the dynamic effects and effects of known external interventions in currency exchange rates. Also, GARCH models of conditional volatility were constructed to show evidence of a significant reduction in volatility in the post intervention period in CZK/EUR and CZK/GBP rates. It is hypothesized that knowledge of the intervention in the foreign exchange market increased awareness about future value of exchange rates and led to lower volatility. (en)
Title	Effects of Interventions and Outliers on Mean Function and Volatility in Currency Exchange Rates Effects of Interventions and Outliers on Mean Function and Volatility in Currency Exchange Rates (en)
skos:prefLabel	Effects of Interventions and Outliers on Mean Function and Volatility in Currency Exchange Rates Effects of Interventions and Outliers on Mean Function and Volatility in Currency Exchange Rates (en)
skos:notation	RIV/62156489:43110/14:00223642!RIV15-MSM-43110___
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Adamec, Václav
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Mendelova univerzita v Brně / Provozně ekonomická fakulta
http://linked.open...dnocenehoVysledku	13738
http://linked.open...ai/riv/idVysledku	RIV/62156489:43110/14:00223642
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	ARIMAX model; volatility model; exchange rate; outlier detection; intervention analysis (en)
http://linked.open.../riv/klicoveSlovo	ARIMAX model intervention analysis volatility model outlier detection exchange rate
http://linked.open...ontrolniKodProRIV	[80D2E8E6E07F]
http://linked.open...v/mistoKonaniAkce	Olomouc
http://linked.open...i/riv/mistoVydani	Olomouc
http://linked.open...i/riv/nazevZdroje	Proceedings of the 32nd International Conference Mathematical Methods in Economics 2014
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...UplatneniVysledku	2014
http://linked.open...iv/tvurceVysledku	Adamec, Václav
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2014-09-10 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Univerzita Palackého v Olomouci
https://schema.org/isbn	978-80-244-4209-9
http://localhost/t...ganizacniJednotka	43110

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