dc.contributor.author | Peker, Sinem | |
dc.contributor.author | Tvaronavičienė, Manuela | |
dc.contributor.author | Aktan, Bora | |
dc.date.accessioned | 2023-09-18T20:07:47Z | |
dc.date.available | 2023-09-18T20:07:47Z | |
dc.date.issued | 2014 | |
dc.identifier.issn | 2345-0282 | |
dc.identifier.other | (BIS)VGT02-000029257 | |
dc.identifier.uri | https://etalpykla.vilniustech.lt/handle/123456789/146743 | |
dc.description.abstract | In this paper, a fuzzy volatility labeling algorithm is offered to detect the periods with abnormal activities on daily share returns. Considering the vagueness in the switches of the time periods, the membership functions of high and normal volatility classes are introduced. In the assignments, both the density structure and membership degree are used. It is believed that this algorithm may be helpful to construct different estimation models for the time periods with normal and abnormal activities. Authors offer algorithm, which can be used as a tool for sustainable risk management. | eng |
dc.format | PDF | |
dc.format.extent | p. 30-36 | |
dc.format.medium | tekstas / txt | |
dc.language.iso | eng | |
dc.relation.isreferencedby | Index Copernicus | |
dc.subject | VE05 - Socioekonominių sistemų universalaus tvarumo tyrimai / Universal sustainability research | |
dc.title | Sustainable risk management: fuzzy approach to volatility and application on ftse 100 index | |
dc.type | Straipsnis kitoje DB / Article in other DB | |
dcterms.references | 28 | |
dc.type.pubtype | S3 - Straipsnis kitoje DB / Article in other DB | |
dc.contributor.institution | Yasar University, Turkey | |
dc.contributor.institution | Vilniaus Gedimino technikos universitetas | |
dc.contributor.institution | University of Bahrain, Isa Town, Kingdom of Bahrain | |
dc.contributor.faculty | Verslo vadybos fakultetas / Faculty of Business Management | |
dc.subject.researchfield | S 004 - Ekonomika / Economics | |
dc.subject.ltspecializations | L103 - Įtrauki ir kūrybinga visuomenė / Inclusive and creative society | |
dc.subject.en | Volatility | |
dc.subject.en | FTSE | |
dc.subject.en | Clustering | |
dc.subject.en | Fuzzy numbe | |
dc.subject.en | Labeling | |
dcterms.sourcetitle | Entrepreneurship and sustainability issues | |
dc.description.issue | iss.1 | |
dc.description.volume | Vol. 2 | |
dc.publisher.name | Entrepreneurship and Sustainability Center | |
dc.publisher.city | Vilnius | |
dc.identifier.doi | 10.9770/jesi.2014.2.1(4) | |
dc.identifier.elaba | 4098163 | |