Option implied moments obtained through fuzzy regression

DOI10.1007/s10700-020-09316-xzbMath1442.62171MaRDI QIDQ778074

Bernard De Baets, Luca Gambarelli, Silvia Muzzioli

Publication date: 30 June 2020

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

Full work available at URL: https://doi.org/10.1007/s10700-020-09316-x

zbMATH Keywords

fuzzy regression; kurtosis; forecasting; skewness; Italian market

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

62J86: Fuzziness, and linear inference and regression

Uses Software

• MCS