A comparative assessment of different fuzzy regression methods for volatility forecasting

DOI10.1007/S10700-013-9161-1MaRDI QIDQ1794408zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Silvia Muzzioli, B. De Baets

Publication date 15 October 2018

Published in Fuzzy Optimization and Decision Making (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10700-013-9161-1

zbMATH Keywords

linear programmingleast squaresvolatility forecastingfuzzy regression methods

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fuzziness, and linear inference and regression (62J86)

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Cites work

• A fuzzy linear regression model with better explanatory power
• A least-squares approach to fuzzy linear regression analysis.
• Estimating a fuzzy term structure of interest rates using fuzzy regression techniques.
• Estimating a term structure of interest rates for fuzzy financial pricing by using fuzzy regression methods.
• Evaluation of fuzzy linear regression models
• Fuzzy data analysis by possibilistic linear models
• Fuzzy least squares
• Fuzzy linear regression analysis: a multi-objective programming approach
• Fuzzy regression using asymmetric fuzzy coefficients and fuzzified neural networks
• Fuzzy versus statistical linear regression
• Hybrid fuzzy least-squares regression analysis and its reliability measures
• Linear Regression Analysis with Fuzzy Model
• On assessing the \(H\) value in fuzzy linear regression
• Possibilistic linear systems and their application to the linear regression model
• Regression with fuzzy random data

Cited in

(6)

• Forecasts of volatility models: fuzzy estimation approach
• Fuzzy coefficient volatility (FCV) models with applications
• Solving implicit mathematical programs with fuzzy variational inequality constraints based on the method of centres with entropic regularization
• Possibilistic linear regression with fuzzy data: tolerance approach with prior information
• Option implied moments obtained through fuzzy regression
• A comparison of fuzzy regression methods for the estimation of the implied volatility smile function

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