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- W1977895070 abstract "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 n th order 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." @default.
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- W1977895070 date "2009-01-01" @default.
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- W1977895070 title "Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing" @default.
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- W1977895070 doi "https://doi.org/10.1016/j.mcm.2008.07.035" @default.
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