{"id":"https://openalex.org/W2431330580","doi":"https://doi.org/10.1109/tfuzz.2016.2578338","title":"Evolving Possibilistic Fuzzy Modeling for Realized Volatility Forecasting With Jumps","display_name":"Evolving Possibilistic Fuzzy Modeling for Realized Volatility Forecasting With Jumps","publication_year":2016,"publication_date":"2016-06-13","ids":{"openalex":"https://openalex.org/W2431330580","doi":"https://doi.org/10.1109/tfuzz.2016.2578338","mag":"2431330580"},"language":"en","primary_location":{"id":"doi:10.1109/tfuzz.2016.2578338","is_oa":false,"landing_page_url":"https://doi.org/10.1109/tfuzz.2016.2578338","pdf_url":null,"source":{"id":"https://openalex.org/S134177497","display_name":"IEEE Transactions on Fuzzy Systems","issn_l":"1063-6706","issn":["1063-6706","1941-0034"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Transactions on Fuzzy Systems","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5049085341","display_name":"Leandro Maciel","orcid":"https://orcid.org/0000-0002-1900-7179"},"institutions":[{"id":"https://openalex.org/I181391015","display_name":"Universidade Estadual de Campinas (UNICAMP)","ror":"https://ror.org/04wffgt70","country_code":"BR","type":"education","lineage":["https://openalex.org/I181391015"]}],"countries":["BR"],"is_corresponding":true,"raw_author_name":"Leandro Maciel","raw_affiliation_strings":["Department of Economic Theory, Institute of Economics, University of Campinas, Campinas, Brazil"],"affiliations":[{"raw_affiliation_string":"Department of Economic Theory, Institute of Economics, University of Campinas, Campinas, Brazil","institution_ids":["https://openalex.org/I181391015"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5070671093","display_name":"Ros\u00e2ngela Ballini","orcid":"https://orcid.org/0000-0001-6683-4380"},"institutions":[{"id":"https://openalex.org/I181391015","display_name":"Universidade Estadual de Campinas (UNICAMP)","ror":"https://ror.org/04wffgt70","country_code":"BR","type":"education","lineage":["https://openalex.org/I181391015"]}],"countries":["BR"],"is_corresponding":false,"raw_author_name":"Rosangela Ballini","raw_affiliation_strings":["Department of Economic Theory, Institute of Economics, University of Campinas, Campinas, Brazil"],"affiliations":[{"raw_affiliation_string":"Department of Economic Theory, Institute of Economics, University of Campinas, Campinas, Brazil","institution_ids":["https://openalex.org/I181391015"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5009222136","display_name":"Fernando Gomide","orcid":"https://orcid.org/0000-0001-5716-4282"},"institutions":[{"id":"https://openalex.org/I181391015","display_name":"Universidade Estadual de Campinas (UNICAMP)","ror":"https://ror.org/04wffgt70","country_code":"BR","type":"education","lineage":["https://openalex.org/I181391015"]}],"countries":["BR"],"is_corresponding":false,"raw_author_name":"Fernando Gomide","raw_affiliation_strings":["Department of Electrical and Industrial Automation, School of Electrical and Computer Engineering, University of Campinas, Campinas, Brazil"],"affiliations":[{"raw_affiliation_string":"Department of Electrical and Industrial Automation, School of Electrical and Computer Engineering, University of Campinas, Campinas, Brazil","institution_ids":["https://openalex.org/I181391015"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5049085341"],"corresponding_institution_ids":["https://openalex.org/I181391015"],"apc_list":null,"apc_paid":null,"fwci":5.11715336,"has_fulltext":false,"cited_by_count":45,"citation_normalized_percentile":{"value":0.96562484,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"25","issue":"2","first_page":"302","last_page":"314"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9962000250816345,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.6609413027763367},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.6539066433906555},{"id":"https://openalex.org/keywords/volatility-clustering","display_name":"Volatility clustering","score":0.5927220582962036},{"id":"https://openalex.org/keywords/autoregressive-conditional-heteroskedasticity","display_name":"Autoregressive conditional heteroskedasticity","score":0.5329592823982239},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5210232734680176},{"id":"https://openalex.org/keywords/fuzzy-logic","display_name":"Fuzzy logic","score":0.4785264730453491},{"id":"https://openalex.org/keywords/autoregressive-model","display_name":"Autoregressive model","score":0.47362229228019714},{"id":"https://openalex.org/keywords/outlier","display_name":"Outlier","score":0.45295417308807373},{"id":"https://openalex.org/keywords/data-mining","display_name":"Data mining","score":0.36800283193588257},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.24425649642944336},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.2359444499015808}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6609413027763367},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6539066433906555},{"id":"https://openalex.org/C2776142675","wikidata":"https://www.wikidata.org/wiki/Q7939999","display_name":"Volatility clustering","level":4,"score":0.5927220582962036},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.5329592823982239},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5210232734680176},{"id":"https://openalex.org/C58166","wikidata":"https://www.wikidata.org/wiki/Q224821","display_name":"Fuzzy logic","level":2,"score":0.4785264730453491},{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.47362229228019714},{"id":"https://openalex.org/C79337645","wikidata":"https://www.wikidata.org/wiki/Q779824","display_name":"Outlier","level":2,"score":0.45295417308807373},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.36800283193588257},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24425649642944336},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.2359444499015808}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/tfuzz.2016.2578338","is_oa":false,"landing_page_url":"https://doi.org/10.1109/tfuzz.2016.2578338","pdf_url":null,"source":{"id":"https://openalex.org/S134177497","display_name":"IEEE Transactions on Fuzzy Systems","issn_l":"1063-6706","issn":["1063-6706","1941-0034"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319808","host_organization_name":"Institute of Electrical and Electronics Engineers","host_organization_lineage":["https://openalex.org/P4310319808"],"host_organization_lineage_names":["Institute of Electrical and Electronics Engineers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"IEEE Transactions on Fuzzy Systems","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320323809","display_name":"Minist\u00e9rio da Educa\u00e7\u00e3o","ror":"https://ror.org/04d0xx942"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":66,"referenced_works":["https://openalex.org/W23758216","https://openalex.org/W178056938","https://openalex.org/W322952782","https://openalex.org/W1529021355","https://openalex.org/W1542883383","https://openalex.org/W1554253427","https://openalex.org/W1965324089","https://openalex.org/W1987098293","https://openalex.org/W1991848143","https://openalex.org/W1997101808","https://openalex.org/W2003701397","https://openalex.org/W2006626546","https://openalex.org/W2013677087","https://openalex.org/W2014321563","https://openalex.org/W2014605651","https://openalex.org/W2028324708","https://openalex.org/W2032484498","https://openalex.org/W2036485694","https://openalex.org/W2040503026","https://openalex.org/W2040895929","https://openalex.org/W2042770308","https://openalex.org/W2050143770","https://openalex.org/W2051146201","https://openalex.org/W2051235503","https://openalex.org/W2052201135","https://openalex.org/W2052345845","https://openalex.org/W2056901498","https://openalex.org/W2057974719","https://openalex.org/W2060685971","https://openalex.org/W2068138154","https://openalex.org/W2076665520","https://openalex.org/W2078564289","https://openalex.org/W2093126808","https://openalex.org/W2093347696","https://openalex.org/W2093768254","https://openalex.org/W2094603430","https://openalex.org/W2094871612","https://openalex.org/W2104486676","https://openalex.org/W2107193251","https://openalex.org/W2113076747","https://openalex.org/W2120688485","https://openalex.org/W2124514331","https://openalex.org/W2133334225","https://openalex.org/W2135472182","https://openalex.org/W2136215272","https://openalex.org/W2136340804","https://openalex.org/W2140585983","https://openalex.org/W2151863350","https://openalex.org/W2152161790","https://openalex.org/W2162635690","https://openalex.org/W2167428023","https://openalex.org/W2171253128","https://openalex.org/W2172861218","https://openalex.org/W2215168096","https://openalex.org/W2480422823","https://openalex.org/W2537520019","https://openalex.org/W3121364726","https://openalex.org/W3124026849","https://openalex.org/W3124028486","https://openalex.org/W3124336248","https://openalex.org/W3124513596","https://openalex.org/W3125696988","https://openalex.org/W3125961143","https://openalex.org/W3125987794","https://openalex.org/W6674461976","https://openalex.org/W6680386445"],"related_works":["https://openalex.org/W4386802740","https://openalex.org/W1986811129","https://openalex.org/W2024616011","https://openalex.org/W2350361222","https://openalex.org/W1508236353","https://openalex.org/W4226115569","https://openalex.org/W2531172836","https://openalex.org/W3175849485","https://openalex.org/W3123893382","https://openalex.org/W4312572637"],"abstract_inverted_index":{"Equity":[0],"asset":[1],"volatility":[2,21,29,43,56,129,210],"modeling":[3,52,60,130,154],"and":[4,17,27,73,82,121,131,135,145,162,176,185],"forecasting":[5,36,216],"provide":[6],"key":[7],"information":[8],"for":[9],"risk":[10],"management,":[11],"portfolio":[12],"construction,":[13],"financial":[14,127],"decision":[15],"making,":[16],"derivative":[18],"pricing.":[19],"Realized":[20],"models":[22,30,41],"outperform":[23],"autoregressive":[24,158],"conditional":[25],"heteroskedasticity":[26],"stochastic":[28],"in":[31,35,126,192,213],"out-of-sample":[32],"forecasting.":[33,132],"Gain":[34],"performance":[37,148],"is":[38,62,204],"achieved":[39],"when":[40],"comprise":[42],"jump":[44],"components.":[45],"This":[46],"paper":[47],"suggests":[48],"evolving":[49,90,151,165,200],"possibilistic":[50,69,114,152,201],"fuzzy":[51,70,76,153,166,202],"to":[53,84,104,118,143,207],"forecast":[54],"realized":[55,209],"with":[57,155,211],"jumps.":[58],"The":[59,89,113,168,195],"approach":[61],"based":[63],"on":[64,74],"an":[65,123],"extension":[66],"of":[67,92,149,215],"the":[68,93,106,147,150,156,199],"c-means":[71],"clustering":[72],"functional":[75],"rule-based":[77],"models.":[78,167],"It":[79],"employs":[80],"memberships":[81],"typicalities":[83],"recursively":[85],"update":[86,105],"cluster":[87],"centers.":[88],"nature":[91],"model":[94,107,115,203,208],"allows":[95],"adding":[96],"or":[97],"removing":[98],"clusters":[99],"using":[100,140],"statistical":[101,136],"distance-like":[102],"criteria":[103],"as":[108],"dictated":[109],"by":[110],"input":[111],"data.":[112],"improves":[116],"robustness":[117],"noisy":[119],"data":[120,172],"outliers,":[122],"essential":[124],"requirement":[125],"markets":[128],"Computational":[133],"experiments":[134,169],"analysis":[137],"are":[138],"done":[139],"value-at-risk":[141],"estimates":[142],"evaluate":[144],"compare":[146],"heterogeneous":[157],"model,":[159],"neural":[160],"networks":[161],"current":[163],"state-of-the-art":[164],"use":[170],"actual":[171],"from":[173],"S&P":[174],"500":[175],"Nasdaq":[177],"(U.S.),":[178],"FTSE":[179],"(U.K.),":[180],"DAX":[181],"(Germany),":[182],"IBEX":[183],"(Spain),":[184],"Ibovespa":[186],"(Brazil),":[187],"major":[188],"equity":[189],"market":[190],"indexes":[191],"global":[193],"markets.":[194],"results":[196],"show":[197],"that":[198],"highly":[205],"efficient":[206],"jumps":[212],"terms":[214],"accuracy.":[217]},"counts_by_year":[{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":4},{"year":2022,"cited_by_count":8},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":9},{"year":2019,"cited_by_count":5},{"year":2018,"cited_by_count":5},{"year":2017,"cited_by_count":6},{"year":2016,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
