. . "http://www.mme2014.upol.cz/conference-proceedings" . "Proceedings of the 32nd International Conference Mathematical Methods in Economics 2014" . "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 . "Adamec, V\u00E1clav" . "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." . "RIV/62156489:43110/14:00223642" . . "978-80-244-4209-9" . . "ARIMAX model; volatility model; exchange rate; outlier detection; intervention analysis"@en . "Univerzita Palack\u00E9ho v Olomouci" . . . "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" . "[80D2E8E6E07F]" . "Effects of Interventions and Outliers on Mean Function and Volatility in Currency Exchange Rates"@en . "RIV/62156489:43110/14:00223642!RIV15-MSM-43110___" . . . . "Effects of Interventions and Outliers on Mean Function and Volatility in Currency Exchange Rates"@en . "Olomouc" . . . "Olomouc" . . "43110" . "6"^^ . "1"^^ . "S" . "13738" . . "2014-09-10+02:00"^^ . "1"^^ . .