A comparative assessment of different fuzzy regression methods for volatility forecasting
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Publication:1794408
DOI10.1007/s10700-013-9161-1zbMath1397.91574OpenAlexW1966580882WikidataQ60256315 ScholiaQ60256315MaRDI QIDQ1794408
Silvia Muzzioli, Bernard De Baets
Publication date: 15 October 2018
Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10700-013-9161-1
Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Fuzziness, and linear inference and regression (62J86)
Related Items (4)
A comparison of fuzzy regression methods for the estimation of the implied volatility smile function ⋮ Solving implicit mathematical programs with fuzzy variational inequality constraints based on the method of centres with entropic regularization ⋮ Possibilistic linear regression with fuzzy data: tolerance approach with prior information ⋮ Option implied moments obtained through fuzzy regression
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