Bentes, Sónia R.; Menezes, Rui; Mendes, Diana A. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 15, pp. 3826-3830
volatility phenomenon is by using measures based on the concept of entropy. In this paper we investigate the long memory and …. Additionally, we compare the results from conditionally heteroscedastic models with those from the entropy measures. In the latter …, we examine Shannon entropy, Renyi entropy and Tsallis entropy. The results corroborate the previous evidence of nonlinear …