Conditional Density Estimation Using Fuzzy GARCH Models

DOI10.1007/978-3-642-33042-1_19OpenAlexW1523870836MaRDI QIDQ2805784FDOQ2805784

Authors: Nalan Baştürk, Uzay Kaymak, Rui Jorge Almeida, João Miguel Da Costa Sousa 

Publication date: 13 May 2016

Published in: Synergies of Soft Computing and Statistics for Intelligent Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-33042-1_19

zbMATH Keywords

density estimationtime series analysisfuzzy modelconditional volatilityfuzzy GARCH

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Theory and inference for a Markov switching GARCH model

Cited In (2)

• Estimation of flexible fuzzy GARCH models for conditional density estimation
• Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing

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