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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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Hedging the Exchange Rate Risk in International Portfolio Diversification: Currency Forwards versus Currency Options
Maurer, Raimond; Valiani, Shohreh - 2003
As past research suggest, currency exposure risk is a main source of overall risk of international diversified portfolios. Thus, controlling the currency risk is an important instrument for controlling and improving investment performance of international investments. This study examines the...
Persistent link: https://www.econbiz.de/10010316299
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Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results
Herrmann, Klaus - 2009
generalize the notion of GARCH processes in an information-theoretic sense and are able to capture skewness and kurtosis better …
Persistent link: https://www.econbiz.de/10010299757
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Volatility models with innovations from new maximum entropy densities at work
Fischer, Matthias J.; Gao, Yang; Herrmann, Klaus - 2010
saw a rise in suggestions for maximum entropy distributions (e.g. Rockinger and Jondeau, 2002, Park and Bera, 2009 or …
Persistent link: https://www.econbiz.de/10010299994
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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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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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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