Purpose – The purpose of this research is to introduce a class of FRC (fuzzy random coefficient) volatility models and to study their moment properties. Fuzzy option values and the superiority of fuzzy forecasts over minimum mean-square forecasts are also discussed in some detail....

Purpose – Financial returns are often modeled as stationary time series with innovations having heteroscedastic conditional variances. This paper seeks to derive the kurtosis of stationary processes with GARCH errors. The problem of hypothesis testing for stationary ARMA(p, q) processes with...

This paper first describes moment properties for Random Coefficient Autoregressive (RCA) processes and the corresponding squared processes, and then studies joint prediction of the mean and volatility. Recursive estimates based on estimating functions are used to compute joint predictions for...

Recently there has been a growing interest in the problems of inference for stochastic processes when the underlying distribution is not specified in terms of a parametric family. Godambe's (1985) approach is here employed to obtain estimates for random signals for a continuous semimartingale...

The kernel function and convolution-smoothing methods developed to estimate a probability density function and distribution are essentially a way of smoothing the empirical distribution function. This paper shows now one can generalize these methods to estimate signals for a semimartingale...

This note considers a new class of nonparametric estimators for nonlinear time-series models based on kernel smoothers. Various new results are given for two popular nonlinear time-series models and compared with the results of Thavaneswaran and Peiris (Statist. Probab. Lett. 28 (1996) 227).

A bullwhip measure for a two-stage supply chain with an order-up-to inventory policy is derived for a general, stationary SARMA(p, q) × (P, Q)s demand process. Explicit expressions for several SARMA models are obtained to illustrate the key relationship between lead-time and seasonal lag. It is...

Purpose – To study stochastic volatility in the pricing of options. Design/methodology/approach – Random‐coefficient autoregressive and generalized autoregressive conditional heteroscedastic models are studied. The option‐pricing formula is viewed as a moment of a truncated normal...