Modeling maximum entropy distributions for financial returns by moment combination and selection
Year of publication: |
2015
|
---|---|
Authors: | Chen, Yi-ting |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 13.2015, 2, p. 414-455
|
Subject: | GARCH-type models | maximum entropy | moment combination | moment selection | standardized error distribution | Entropie | Entropy | Theorie | Theory | Statistische Verteilung | Statistical distribution | Momentenmethode | Method of moments |
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