Showing 1 - 10 of 14
impact of the Global Financial Crisis. We apply a series of non-parametric based tests utilizing entropy based metrics. These … suggest that the PDFs and CDFs of these two return distributions change shape in various subsample periods. The entropy and MI … relative maximum in the most recent period from 2011 to 2012. The entropy based non-parametric tests of the equivalence of the …
Persistent link: https://www.econbiz.de/10011555743
framework forms the basis for an entropy-based stacking model to address issues of inconsistency and bias in classification … individual base models, the proposed entropy-based stacking model provides more consistent performance across multiple data …
Persistent link: https://www.econbiz.de/10012622485
We investigate any similarity and dependence based on the full distributions of cryptocurrency assets, stock indices and industry groups. We characterize full distributions with entropies to account for higher moments and non-Gaussianity of returns. Divergence and distance between distributions...
Persistent link: https://www.econbiz.de/10012628498
quantile (QU) function, moment (MOs), incomplete MOs, conditional MOs, MO-generating function, and entropy. Based on simple …
Persistent link: https://www.econbiz.de/10014295425
Rényi entropy criterion, which summarizes the uncertainty in portfolio returns. Assuming asset returns are projected by a … regime-switching regression model on the two market risk factors, we develop an entropy-based dynamic portfolio selection … empirical Sharpe and return to entropy ratios, the dynamic portfolio under the proposed strategy is much improved in contrast …
Persistent link: https://www.econbiz.de/10013375264
absolute percentage error (MAPE), symmetric mean absolute percentage error (sMAPE), and Shannon entropy (SE), clearly …
Persistent link: https://www.econbiz.de/10011545129
Entropy to quantify the indirect influence that indices have on one another. We find that Transfer Entropy is an effective way …
Persistent link: https://www.econbiz.de/10011545240
. We use the entropy weight method, which uses the Technique for Order of Preference by Similarity to Ideal Solution …
Persistent link: https://www.econbiz.de/10013163969
performance over time. Using data on CESEE stock market indices, we model the dynamics of entropy transfers from one return series … previous results. Here, the main results indicate that using entropy transfers in portfolio construction and rebalancing has …
Persistent link: https://www.econbiz.de/10012626748
In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options … maximising Shannon's entropy subject to a set of moment constraints, which in turn yields the value-at-risk and expected … shortfall of the hedging error. The significance of this approach lies in the fact that the maximum entropy estimator allows us …
Persistent link: https://www.econbiz.de/10012484861