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This paper proposes an entropy-based approach for aggregating information from misspecified asset pricing models. The … a risk function of aggregation across models. The proposed method relaxes the perfect substitutability of the candidate … models, which is implicitly embedded in the linear pooling procedures, and ensures that the aggregation weights are selected …
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-sample information from theory and/or empirical evidence can be introduced in the form of known probabilities by means of the cross-entropy …
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novel "three-way" fixed-effects type of Generalized Maximum Entropy estimator (FE-GME). The importance of fixed effects is …
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a reliability analysis is considered. The Rényi entropy of PSBTPAD is proved and the application of real data is …
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commonly used in the literature. We also show how a formulation of a taste for variety as entropy that had been previously used …
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