期刊名称：International Journal of E-Business Development
印刷版ISSN：2225-7411
电子版ISSN：2226-7336
出版年度：2012
卷号：2
期号：1
语种：English
出版社：World Academic Publishing
摘要：The model stability is an important condition, when analyzing a financial time series. This assumption may be violated because of changes in economical and financial conditions. In a parametric model, the model stability assumption is reduced to constancy of parameters of model. Rolling analysis is useful tool to detect changes in the parameters of a statistical model. This paper considers the rolling analysis for diffusion processes. Theoretical aspects are proposed and some simulation examples are given. A real data set is considered. A conclusion section is also given.
关键词：Diffusion process; Financial time series; Model stability; Rolling analysis
