A Note on Monitoring Fuzzy Financial Returns
Abstract:
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.
Author(s):
Reza Habibi, Department of Statistics, Central Bank of Iran
DOI:
Keywords:
References:
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