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Statements

Subject Item
n2:RIV%2F62156489%3A43110%2F14%3A00223642%21RIV15-MSM-43110___
rdf:type
skos:Concept n16:Vysledek
rdfs:seeAlso
http://www.mme2014.upol.cz/conference-proceedings
dcterms: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.
dcterms: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
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
skos:notation
RIV/62156489:43110/14:00223642!RIV15-MSM-43110___
n3:aktivita
n11:S
n3:aktivity
S
n3:dodaniDat
n14:2015
n3:domaciTvurceVysledku
n21:3060160
n3:druhVysledku
n5:D
n3:duvernostUdaju
n15:S
n3:entitaPredkladatele
n17:predkladatel
n3:idSjednocenehoVysledku
13738
n3:idVysledku
RIV/62156489:43110/14:00223642
n3:jazykVysledku
n4:eng
n3:klicovaSlova
ARIMAX model; volatility model; exchange rate; outlier detection; intervention analysis
n3:klicoveSlovo
n8:volatility%20model n8:intervention%20analysis n8:outlier%20detection n8:exchange%20rate n8:ARIMAX%20model
n3:kontrolniKodProRIV
[80D2E8E6E07F]
n3:mistoKonaniAkce
Olomouc
n3:mistoVydani
Olomouc
n3:nazevZdroje
Proceedings of the 32nd International Conference Mathematical Methods in Economics 2014
n3:obor
n13:BB
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:rokUplatneniVysledku
n14:2014
n3:tvurceVysledku
Adamec, Václav
n3:typAkce
n18:WRD
n3:zahajeniAkce
2014-09-10+02:00
s:numberOfPages
6
n10:hasPublisher
Univerzita Palackého v Olomouci
n9:isbn
978-80-244-4209-9
n19:organizacniJednotka
43110