Fuzzy random-coefficient volatility models with financial applications

Journal of Risk Finance

Volumn 7, Issue 5, 2006, Pages 503-524

  Thiagarajah, K ^a   Thavaneswaran, A ^b  

^a ILLINOIS STATE UNIVERSITY   (United States)

^b UNIVERSITY OF MANITOBA   (Canada)

Author keywords

Finance; Mathematical modelling

Indexed keywords

EID: 85015626416     PISSN: 15265943     EISSN: 09657967     Source Type: Journal    
DOI: 10.1108/15265940610712669     Document Type: Article

References (17)

1. Abraham, B. and Thavaneswaran, A. (1991), “A nonlinear time series model and estimation of missing observations”, Annals of the Institute of Statistical Mathematics, Vol. 43, pp. 493-504.
2. Appadoo, S.S. and Thavaneswaran, A. (2006), “Fuzzy coefficient autoregressive (FCA) stationary time series models”, Journal of Statistical theory and Applications, forthcoming.
3. Appadoo, S.S., Ghahramani, M. and Thavaneswaran, A. (2005), “Moment properties of some time series models”, Mathematical Sciences, Vol. 30, pp. 50-63.
4. Black, F. and Scholes, M. (1973), “The pricing of options and corporate liabilities”, Journal of Political Economy, Vol. 81, pp. 637-54.
5. Buckley, J.J. (2004), Fuzzy Probabilities: New Approach and Applications, Physica-Verlag, Heidelberg.
6. Carlsson, C. and Fuller, M. (2001), “On possibilistic mean value and variance of fuzzy numbers: the mean value of a fuzzy number”, Fuzzy Sets and Systems, Vol. 122, pp. 315-26.
7. Dubois, D. and Prade, H. (1987), “The mean value of a fuzzy number”, Fuzzy Sets and Systems, Vol. 24, pp. 279-300.
8. Fornari, F. and Mele, A. (1997), “Sign and volatility switching ARCH models: theory and applications to international stock markets”, Journal of Applied Econometrics, Vol. 12, pp. 49-65.
9. Ghahramani, M. and Thavaneswaran, A. (2007), “Identification of ARMA models with GARCH errors”, Mathematical Science, forthcoming.
10. Merton, R.C. (1973), “Theory of rational option pricing”, Bell Journal of Economics and Management Science, Vol. 4, pp. 141-83.
11. Nicholls, D.F. and Quinn, B.G. (1982), Random coefficient autoregressive models: an introduction, Lecture Notes in Statistics, Vol. 11, Springer, New York, NY.
12. Thavaneswaran, A., Appadoo, S.S. and Samanta, M. (2005), “Random coefficient GARCH models”, Mathematical and Computer Modelling, Vol. 41 Nos 6/7, pp. 723-33.
13. Tsay, J.J. (2002), Analysis of Financial Time Series, Wiley InterScience, New York, NY.
14. Zadeh, L.A. (1965), “Fuzzy sets”, Information and Control, Vol. 8, pp. 338-53.
15. Dubois, D. and Prade, H. (1980), Fuzzy Sets and Systems: Theory and Applications, Academic Press, New York, NY.
16. Goetschel, R. and Voxman, W. (1986), “Elementary fuzzy calculus”, Fuzzy Sets and Systems, Vol. 18, pp. 31-43.
17. Zadeh, L.A. (1975), “The concept of a linguistic variable and its applications to approximate reasoning, parts 1 and 2”, Informations Sciences, Vol. 8, pp. 199-249, 301-57.