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Relative entropy criterion and CAPM-like pricing
Xanthopoulos, Stylianos Z. - In: Trends in mathematical economics : dialogues between …, (pp. 369-379). 2016
Persistent link: https://www.econbiz.de/10011800875
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Asymmetry in stock comovements : an entropy approach
Jiang, Lei; Wu, Ke; Zhou, Guofu - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 4, pp. 1479-1507
Persistent link: https://www.econbiz.de/10011930502
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New entropy restrictions and the quest for better-specified asset-pricing models
Bakshi, Gurdip S.; Chabi-Yo, Fousseni - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 6, pp. 2517-2541
Persistent link: https://www.econbiz.de/10012165919
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Product benchmarking in the air cargo industry : non-parametric measurement of an aircraft value for money
Lo Storto, Corrado - In: Benchmarking : an international journal ; BIJ 24 (2017) 4, pp. 857-881
Persistent link: https://www.econbiz.de/10011653072
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Predicting risk/return performance using upper partial moment/lower partial moment metrics
Viole, Fred; Nawrocki, David N. - In: Journal of mathematical finance 6 (2016) 5, pp. 900-920
Persistent link: https://www.econbiz.de/10011658111
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Model risk qualification based on relative entropy
Arrieta, Daniel - In: The journal of risk model validation 16 (2022) 3, pp. 113-131
Persistent link: https://www.econbiz.de/10014540603
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Sources of entropy in representative agent models
Backus, David; Chernov, Mikhail; Zin, Stanley E. - 2011
Persistent link: https://www.econbiz.de/10009259677
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New entropy restrictions and the quest for better specified asset pricing models
Bakshi, Gurdip S.; Fousseni, Chabi-Yo - 2014
entropy-based restrictions on SDFs, and its correlated multiplicative components, to evaluate asset pricing models …. Specifically, our entropy bound on the square of the SDFs is intended to capture the time-variation in the conditional volatility … of the log SDF as well as distributional non-normalities. Each entropy bound can be inferred from the mean and the …
Persistent link: https://www.econbiz.de/10010353301
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Sources of entropy in representative agent models
Backus, David; Chernov, Mikhail; Zin, Stanley E. - 2011
Persistent link: https://www.econbiz.de/10009237633
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Twisted probabilities, uncertainty, and prices
Hansen, Lars Peter; Szőke, Bálint; Han, Lloyd S.; … - In: Journal of econometrics 216 (2020) 1, pp. 151-174
Persistent link: https://www.econbiz.de/10012439662