Conditional Density Estimation Using Fuzzy GARCH Models

DOI10.1007/978-3-642-33042-1_19MaRDI QIDQ2805784zbMATH OpenOpenAlexFDO

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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