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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Publicado en:	Journal of Financial Econometrics Vol. 13; no. 2; pp. 414 - 456
Autor principal:	YI-TING CHEN
Formato:	Artículo
Publicado:	Oxford University Press / USA Spring2015
Materias:	Rate of return on stocks Mathematical models Maximum entropy method Statistical errors GARCH model Distribution (Probability theory)
Acceso en línea:	Ver este registro en EBSCOhost