Modeling Maximum Entropy Distributions for Financial Returns by Moment Combination and Selection.

In empirical finance, conditional distributions of financial returns are often established by specifying the standardized error distributions of GARCH-type models. In this article, we apply the maximum entropy (MaxEnt) approach and propose a moment combination and selection method to explore this di...

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Bibliographic Details

Published in:	Journal of Financial Econometrics Vol. 13; no. 2; pp. 414 - 456
Main Author:	YI-TING CHEN
Format:	Article
Published:	Oxford University Press / USA Spring2015
Subjects:	Rate of return on stocks Mathematical models Maximum entropy method Statistical errors GARCH model Distribution (Probability theory)
Online Access:	View this record in EBSCOhost