• Login
    View Item 
    •   DSpace Home
    • A) Producción científica UCSC
    • Artículos Científicos
    • View Item
    •   DSpace Home
    • A) Producción científica UCSC
    • Artículos Científicos
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    A new measure of volatility using induced heavy moving averages

    Thumbnail
    View/Open
    León, Ernesto-A NEW MEASURE.pdf (210.8Kb)
    Date
    2019
    Author
    León Castro, Ernesto
    Espinoza Audelo, Luis Fernando
    Avilés Ochoa, Ezequiel
    Merigó, José M.
    Kacprzyk, Janusz
    Publisher
    Technological and Economic Development of Economy
    Description
    Artículo de publicación SCOPUS
    Metadata
    Show full item record
    Abstract
    The volatility is a dispersion technique widely used in statistics and economics. This paper presents a new way to calculate volatility by using different extensions of the ordered weighted average (OWA) operator. This approach is called the induced heavy ordered weighted moving average (IHOWMA) volatility. The main advantage of this operator is that the classical volatility formula only takes into account the standard deviation and the average, while with this formulation it is possible to aggregate information according to the decision maker knowledge, expectations and attitude about the future. Some particular cases are also presented when the aggregation information process is applied only on the standard deviation or on the average. An example in three different exchange rates for 2016 are presented, these are for: USD/MXN, EUR/MXN and EUR/USD.
    URI
    http://repositoriodigital.ucsc.cl/handle/25022009/1845
    Ir a texto completo en URI:
    https://doi.org/10.3846/tede.2019.9374
    Collections
    • Artículos Científicos

    UCSC
    UCSC | Contact Us | Send Feedback
     

     

    Browse

    All of DSpaceCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

    My Account

    Login

    Statistics

    View Usage Statistics

    UCSC
    UCSC | Contact Us | Send Feedback