FRIEDMAN, CRAIG; ZHANG, YANGYONG; HUANG, JINGGANG - In: International Journal of Theoretical and Applied … 13 (2010) 01, pp. 163-193
We use minimum relative entropy (MRE) methods to estimate univariate probability density functions for a varied set of financial and economic variables, including S&P500 index returns, individual stock returns, power price returns and a number of housing-related economic variables. Some...