Modelling time-varying higher moments with maximum entropy density
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DOI: 10.1016/j.matcom.2008.11.016
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Cited by:
- Herrmann Klaus & Fischer Matthias, 2010. "An Alternative Maximum Entropy Model for Time-Varying Moments with Application to Financial Returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(3), pages 1-23, May.
- Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar, 2021.
"Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model,"
JRFM, MDPI, vol. 14(3), pages 1-19, February.
- Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar, 2015. "Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model," School of Economics and Public Policy Working Papers 2015-17, University of Adelaide, School of Economics and Public Policy.
- Carol Alexander & Jose Maria Sarabia, 2010. "Endogenizing Model Risk to Quantile Estimates," ICMA Centre Discussion Papers in Finance icma-dp2010-07, Henley Business School, University of Reading.
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Keywords
Conditional higher moment; Entropy; Maximum entropy density; Skewness; Kurtosis;All these keywords.
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