Non-Extensitivity versus Informative Moments for Financial Models - A Unifying Framework and Empirical Results

Though information-theoretic approaches still play only a minor role in nancial marketanalysis, there have been two recent approaches developing independently one in econo-physics and the other in econometrics. Both approaches generalize the notion of eitherARCH or GARCH models.The econometric models for nancial markets analysis have been introduced by Rockinger/Jondeau (2002) and been extended and generalized in Bera/Park (2009) and Fischer/Herrmann(2008). These approaches model variance's motion in time, like traditional GARCH models,but include knowlegde of higher moments, such as skewness and kurtosis, in order to captureknown stylized facts.[...]