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Expected idiosyncratic entropy
Baghdadabad, Mohammadreza Tavakoli - In: China Accounting and Finance Review 26 (2024) 2, pp. 137-169
Purpose - We propose a risk factor for idiosyncratic entropy and explore the relationship between this factor and … expected stock returns. Design/methodology/approach - We estimate a cross-sectional model of expected entropy that uses several … common risk factors to predict idiosyncratic entropy. Findings - We find a negative relationship between expected …
Persistent link: https://www.econbiz.de/10014554136
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Jump-diffusion long-run risks models, variance risk premium and volatility dynamics
Jin, Jianjian - 2013
This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of riskneutral and realized...
Persistent link: https://www.econbiz.de/10009734341
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Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin; Xu, Wen - 2014
Persistent link: https://www.econbiz.de/10010365630
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Liquidity and asset prices : an empirical investigation of the nordic stock markets
Butt, Hilal Anwar; Virk, Nader Shahzad - In: European financial management : the journal of the … 21 (2015) 4, pp. 672-705
Persistent link: https://www.econbiz.de/10011408519
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Determinants of asymmetric return comovements of gold and other financial assets
Poshakwale, Sunil S.; Mandal, Anandadeep - In: International review of financial analysis 47 (2016), pp. 229-242
Persistent link: https://www.econbiz.de/10011624131
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Entropy and predictability of stock market returns
Maasoumi, Esfandiar; Racine, Jeffrey - In: Journal of econometrics 107 (2002) 1/2, pp. 291-312
Persistent link: https://www.econbiz.de/10001651309
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Cross-market information transmission and stock market volatility prediction
Wang, Yide; Chen, Zan; Ji, Xiaodong - In: The North American journal of economics and finance : a … 68 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014485465
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Sum-of-the-parts revised : economic regimes and flexible probabilities
Haase, Felix - 2024 - First Draft: September 9, 2024
conditional and mixture densities as view generators. We use entropy pooling to re-weight the historical distribution to derive …
Persistent link: https://www.econbiz.de/10015062491
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Forecasting financial time series with Boltzmann entropy through neural networks
Grilli, Luca; Santoro, Domenico - In: Computational management science 19 (2022) 4, pp. 665-681
Persistent link: https://www.econbiz.de/10013447499
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Predicting excess returns in financial markets
Canova, Fabio; Marrinan, Jane Ellen - 1993
Persistent link: https://www.econbiz.de/10000865568