A Note on Monitoring Fuzzy Financial Returns
DOI:
https://doi.org/10.15415/mjis.2013.21007Keywords:
Change point, Cusum, LR-Fuzzy number, Membership function, Monitoring, Rate of return, Rolling analysis, SecuritiesAbstract
This paper presents change point analysis for stock market time series where it is assumed the rate of return on securities is 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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Articles in Mathematical Journal of Interdisciplinary Sciences (Math. J. Interdiscip. Sci.) by Chitkara University Publications are Open Access articles that are published with licensed under a Creative Commons Attribution- CC-BY 4.0 International License. Based on a work at https://mjis.chitkara.edu.in. This license permits one to use, remix, tweak and reproduction in any medium, even commercially provided one give credit for the original creation.
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Mathematical Journal of Interdisciplinary Sciences by Chitkara University Publications is licensed under a Creative Commons Attribution 4.0 International License. Based on a work at https://mjis.chitkara.edu.in |
