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A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
sets a series of non-parametric based tests utilising 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 statistics suggest that the degree … most recent period from 2011 to 2012. The entropy based non-parametric tests of the equivalence of the two distributions …
Persistent link: https://www.econbiz.de/10010326508
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An information-theoretical analysis of budget-constrained nonpoint source pollution control
Kaplan, Jonathan D.; Howitt, Richard E.; Farzin, Y. Hossein - 2001
learning. To overcome the inherent ill-posed statistical problem in NPS pollution data the sequential entropy filter is applied …
Persistent link: https://www.econbiz.de/10011608793
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Growth of strategy sets, entropy and nonstationary bounded recall
Neyman, Abraham; Okada, Daijiro - 2005
This paper initiates the study of long term interactions where players' bounded rationality varies over time. Time dependent bounded rationality is reflected in part in the number $\psi(t)$ of distinct strategies in the first $t$-stages. We examine how the growth rate of $\psi_i(t)$ affects...
Persistent link: https://www.econbiz.de/10010266360
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Distance-related barriers and the internationalisation of Finnish MNES
Lundan, Sarianna M. - 2009
In an integrated global economy, multinational enterprises (MNEs) have more opportunities than ever to reap the benefits of broader markets and more possibilities for an extensive division of labour between different locations. In spite of this, the evidence on the spread of the activities of...
Persistent link: https://www.econbiz.de/10010273008
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An entropy-based metric for product remanufacturability
Ramoni, Monsuru O.; Zhang, Hong-chao - In: Journal of Remanufacturing 2 (2012), pp. 1-8
metric is based on entropy, a phenomenon well known in engineering. …
Persistent link: https://www.econbiz.de/10010500505
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Term structures of asset prices and returns
Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016
We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...
Persistent link: https://www.econbiz.de/10011538004
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Using transfer entropy to measure information flows between financial markets
Dimpfl, Thomas; Peter, Franziska J. - 2012
We use transfer entropy to quantify information flows between financial markets and propose a suitable bootstrap … procedure for statistical inference. Transfer entropy is a model-free measure designed as the Kullback-Leibler distance of …
Persistent link: https://www.econbiz.de/10010318778
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Updating the Option Implied Probability of Default Methodology
Vilsmeier, Johannes - 2011
In this paper we 'update' the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second, it is...
Persistent link: https://www.econbiz.de/10010294741
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A note on conditional arbitrage-free maximum entropy densities for simulative option pricing
Herrmann, Klaus - 2009
densities using the principle of maximum entropy. For the case of identically and independently distributed returns, we easily …
Persistent link: https://www.econbiz.de/10010299804
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Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
Dudenhausen, Antje - 2002
We consider a standard two-player all-pay auction with private values, where the valuation for the object is private information to each bidder. The crucial feature is that one bidder is favored by the allocation rule in the sense that he need not bid as much as the other bidder to win the...
Persistent link: https://www.econbiz.de/10010263054