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A Note on Monitoring Fuzzy Financial Returns
Journal: Mathematical Journal of Interdisciplinary Sciences (Vol.2, No. 1)Publication Date: 2013-09-02
Authors : Reza Habibi;
Page : 89-94
Keywords : Change point; Cusum; LR-Fuzzy number; Membership function; Monitoring; Rate of return; Rolling analysis; Securities;
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Abstract
This paper presents change point analysis for stock market time series where it is assumed the rate of return on securities are approximated as LR-fuzzy numbers. We consider the change point detection in the mean and variance of returns. The methods are proposed and their theoretical aspects are studied. A real data set is also considered. Finally, a conclusion section is given.
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Last modified: 2015-06-04 18:09:58