A NEW MEASURE OF VOLATILITY USING INDUCED HEAVY MOVING AVERAGES

被引：10

作者：

Leon-Castro, Ernesto ^{[1
]}

Fernando Espinoza-Audelo, Luis ^{[2
]}

Aviles-Ochoa, Ezequiel ^{[2
]}

Merigo, Jose M. ^{[3
,4
]}

Kacprzyk, Janusz ^{[5
]}

机构：

[1] Univ Catolica Santisima Concepcion, Fac Econ & Business Adm, Concepcion 4070129, Chile

[2] Univ Occidente, Blvd Lola Beltran S-N Esq Circuito Vial, Culiacan 80200, Mexico

[3] Univ Technol Sydney, Fac Engn & Informat Technol, Sch Syst Management & Leadership, Ultimo, NSW 2007, Australia

[4] Univ Chile, Sch Business & Econ, Dept Management Control & Informat Syst, Ave Diagonal Paraguay 257, Santiago 8330015, Chile

[5] Polish Acad Sci, Syst Res Inst, Neweleska 6 St, PL-01447 Warsaw, Poland

来源：

TECHNOLOGICAL AND ECONOMIC DEVELOPMENT OF ECONOMY | 2019年 / 25卷 / 04期

关键词：

volatility; IHOWMA operator; exchange rate; moving average; GROUP DECISION-MAKING; EXCHANGE-RATE VOLATILITY; DISTANCE MEASURES; AGGREGATION OPERATORS; PARTY MEMBERSHIP; BONFERRONI MEANS; CONSENSUS; VARIANCE; TRADE; INCLUSION;

D O I：

10.3846/tede.2019.9374

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：576 / 599

页数：24

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