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Connections between entropic and linear projections in asset pricing estimation
Kitamura, Yuichi; Stutzer, Michael J. - In: Journal of econometrics 107 (2002) 1/2, pp. 159-174
Persistent link: https://www.econbiz.de/10001651270
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Semiparametric estimation of latent variable asset pricing models
Dalderop, Jeroen - In: Journal of econometrics 236 (2023) 1, pp. 1-30
Persistent link: https://www.econbiz.de/10014332225
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Asymmetry in Stock Comovements : An Entropy Approach
Jiang, Lei - 2020
We provide an entropy approach for measuring asymmetric comovement between the return on a single asset and the market …. Moreover, our approach also provides an entropy-based measure of downside asymmetric comovement. In the cross-section of stock …
Persistent link: https://www.econbiz.de/10012856552
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Current volatility as a measure of market risk
Kussy, Mikhail - In: International journal of risk assessment and management … 20 (2017) 4, pp. 333-349
Persistent link: https://www.econbiz.de/10011859119
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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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General aggregation of misspecified asset pricing models
Gospodinov, Nikolaj; Maasoumi, Esfandiar - 2017
This paper proposes an entropy-based approach for aggregating information from misspecified asset pricing models. The …
Persistent link: https://www.econbiz.de/10011771622
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Asset prices with locally-constrained-entropy recursive multiple priors utility
Sbulez, Alessandro (contributor); Trojani, Fabio (contributor) - 2007
Persistent link: https://www.econbiz.de/10003674251
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Sources of entropy in representative agent models
Backus, David; Chernov, Mikhail; Zin, Stanley E. - 2011 - This revision: July 11, 2011
Persistent link: https://www.econbiz.de/10009580241
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The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model
Momeya, Romuald Hervé; Ben Salah, Zied - In: Asia-Pacific financial markets 19 (2012) 1, pp. 63-98
Persistent link: https://www.econbiz.de/10009532269