期刊
MATHEMATICAL AND COMPUTER MODELLING
卷 49, 期 1-2, 页码 352-368出版社
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.mcm.2008.07.035
关键词
Weighted possibilistic moments; Fuzzy coefficient volatility models; Fuzzy estimates; Fuzzy Forecast; Kurtosis
Carlsson and Fuller [C. Carlsson, R. Fuller, On possibilistic mean value and variance of fuzzy numbers, Fuzzy Sets and Systems 122 (2001) 315-326] have introduced possibilistic mean, variance and covariance of fuzzy numbers and Fuller and Majlender [R. Fuller, P. Majlender, On weighted possibilistic mean and variance of fuzzy numbers, Fuzzy Sets and Systems 136 (2003) 363-374] have introduced the notion of crisp weighted possibilistic moments of fuzzy numbers. Recently, Thavaneswaran et al. [A. Thavaneswaran, K. Thiagarajah, S.S. Appadoo, Fuzzy coefficient volatility (FCV) models with applications, Mathematical and Computer Modelling 45 (2007) 777-786] have defined non-centered nth other possibilistic moments of fuzzy numbers. In this paper, we extend these results to centered moments and find the kurtosis for a class of FCA (Fuzzy Coefficient Autoregressive) and FCV (Fuzzy Coefficient Volatility) models. We also demonstrate the superiority of the fuzzy forecasts over the minimum square error forecast through a numerical example. Finally, we provide a description of option price specification errors using the fuzzy weighted possibilistic option valuation model. (C) 2008 Elsevier Ltd. All rights reserved.
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