Josef Arlt, Markéta Arltová, Tomáš Cipra, Šárka Hudecová (roz. Došlá), Michal Pešta, Zuzana Prášková, Jan Ámos Víšek, Radek Hendrych, Lenka Slámová, Matúš Maciak, Stanislav Nagy
The research objectives
Testing the stability of models and the detection of structural breaks
New smoothness techniques suitable for financial modelling
Special cases like weak stationary processes with non-positive correlations, bounded and clipped ARMA processes will be analysed and applied to financial data