Distributional properties and parameters estimation of GSB Process: An approach based on characteristic functions

摘要

A general type of a Split-BREAK process with Gaussian innovations(henceforth, Gaussian Split-BREAK or GSB process) is considered. The basicstochastic properties of the model are studied and its characteristic functionderived. A procedure to estimate the parameter of the GSB model based on theEmpirical Characteristic Function (ECF) is proposed. Our simulations suggestthat the proposed method performs well compared to a Method of Moment procedureused as benchmark. The empirical use of the GSB model is illustrated with anapplication to the time series of total values of shares traded at BelgradeStock Exchange.