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q-fin.MF2022
Modeling dynamic volatility under uncertain environment with fuzziness and randomness
Xianfei Hui, Baiqing Sun, Hui Jiang +1
The problem related to predicting dynamic volatility in financial market plays a crucial role in many contexts. We build a new generalized Barndorff-Nielsen and Shephard (BN-S) mod…
q-fin.MF2021
Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters
Xianfei Hui, Baiqing Sun, Hui Jiang +1
In this paper we implement a combination of data-science and fuzzy theory to improve the classical Barndorff-Nielsen and Shephard model, and implement this to analyze the S&P 500 i…