Fuzzy coefficient volatility (FCV) models with applications

DOI10.1016/j.mcm.2006.07.019zbMath1165.91415OpenAlexW2031349101MaRDI QIDQ2473222

Kulathava Ranee Thiagarajah, S. S. Appadoo, A. Thavaneswaran

Publication date: 26 February 2008

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2006.07.019

zbMATH Keywords

possibilistic meanpossibilistic variancefuzzy coefficient autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Theory of fuzzy sets, etc. (03E72)

Related Items (15)

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Uses Software

• FinTS

Cites Work

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• Elementary fuzzy calculus
• Random coefficient GARCH models
• Fuzzy sets and systems. Theory and applications
• Random coefficient autoregressive models: an introduction
• A nonlinear time series model and estimation of missing observations
• A fuzzy approach to real option valuation
• On weighted possibilistic mean and variance of fuzzy numbers
• Fuzzy sets
• Fuzzy reasoning in decision making and optimization
• On possibilistic mean value and variance of fuzzy numbers

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