A multi-covariate semi-parametric conditional volatility model using probabilistic fuzzy systems

Value at Risk (VaR) has been successfully estimated using single covariate probabilistic fuzzy systems (PFS), a method which combines a linguistic description of the system behaviour with statistical properties of data. In this paper, we consider VaR estimation based on a PFS model for density forec...

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Bibliographic Details

Published in:	2012 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr) pp. 1 - 8
Main Authors:	Almeida, R. J., Basturk, N., Kaymak, U., Milea, V.
Format:	Conference Proceeding
Language:	English
Published:	IEEE 01-03-2012
Subjects:	Cognition Estimation Fuzzy systems Histograms Portfolios Probabilistic logic Reactive power
Online Access:	Get full text
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