Volatility GARCH models with the ordered weighted average (OWA) operators

DOI10.1016/J.INS.2021.02.051MaRDI QIDQ6086276zbMATH OpenOpenAlexFDO

Authors Martha Flores-Sosa, Ezequiel Avilés-Ochoa, José M. Merigó, Ronald R. Yager

Publication date 9 November 2023

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ins.2021.02.051

zbMATH Keywords

GARCH modelsIOWA operatorordinary least squaresOWA operator

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• A globally consistent nonlinear least squares estimator for identification of nonlinear rational systems
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Closed-form variance swap prices under general affine GARCH models and their continuous-time limits
• Estimation of flexible fuzzy GARCH models for conditional density estimation
• GARCH models. Structure, statistical inference and financial applications
• GARCH-based robust clustering of time series
• Generalized autoregressive conditional heteroscedasticity
• Generalized means as model of compensative connectives
• Generalized OWA aggregation operators
• Induced aggregation operators.
• International liquidity and exchange rate dynamics
• Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
• Modeling volatility using state space models with heavy tailed distributions
• OLS and IV estimation of regression models including endogenous interaction terms
• On ordered weighted averaging aggregation operators in multicriteria decisionmaking
• Optimum thresholding using mean and conditional mean squared error
• Revising the OWA operator for multi criteria decision making problems under uncertainty
• Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
• The induced generalized OWA operator
• Volatility estimation for Bitcoin: a comparison of GARCH models
• Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing

Cited in

(2)

• OWA fuzzy regression
• A generalized Rényi divergence for multi-source information fusion with its application in EEG data analysis

This page was built for publication: Volatility GARCH models with the ordered weighted average (OWA) operators

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6086276)