Muzzioli, Silvia; Baets, Bernard De - Dipartimento di Economia "Marco Biagi", Università … - 2011
-based volatility forecasts, through the use of fuzzy regression methods. The latter methods offer a suitable tool to handle both …, measurement errors in both realised volatility and volatility forecasts may affect the regression results. Fuzzy regression … methods have not yet been used in volatility forecasting. Our case study is based on intra-daily data on the DAX-index options …
