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A generalized entropy approach to portfolio selection under a hidden markov model
MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25
Rényi entropy criterion, which summarizes the uncertainty in portfolio returns. Assuming asset returns are projected by a … regime-switching regression model on the two market risk factors, we develop an entropy-based dynamic portfolio selection … empirical Sharpe and return to entropy ratios, the dynamic portfolio under the proposed strategy is much improved in contrast …
Persistent link: https://www.econbiz.de/10013375264
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Food consumption dynamics : a nonparametric approach using maximum entropy estimation
Stokes, Jeffrey R.; Frechette, Darren L. - In: Agricultural economics : the journal of the … 34 (2006) 3, pp. 281-290
Persistent link: https://www.econbiz.de/10003324971
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Income inequality dynamic measurement of Markov models : application to some European countries
D'Amico, Guglielmo; Di Biase, Giuseppe; Manca, Raimondo - In: Economic modelling 29 (2012) 5, pp. 1598-1602
Persistent link: https://www.econbiz.de/10009667189
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"Speculative Influence Network" during financial bubbles : application to Chinese stock markets
Lin, Li; Sornette, Didier - In: Journal of economic interaction and coordination : JEIC 13 (2018) 2, pp. 385-431
Persistent link: https://www.econbiz.de/10011962258
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Short‐term stock price prediction based on limit order book dynamics
An, Yang; Chan, Ngai Hang - In: Journal of forecasting 36 (2017) 5, pp. 541-556
Persistent link: https://www.econbiz.de/10011860685
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The role of temperature in economic exchange : an empirical analysis
Dimitrijević, Bojan; Lovre, Ivan - In: Journal of central banking theory and practice 4 (2015) 3, pp. 65-89
Persistent link: https://www.econbiz.de/10011373218
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Real-time macroeconomic data and uncertainty
Glass, Katharina; Fritsche, Ulrich - 2015 - 2nd updated version
Most macroeconomic data is continuously revised as additional information becomes available. We suggest that revisions of data is an increasingly important source of uncertainty about the state of the economy and offer an alternative channel of uncertainty - data uncertainty. This paper adds on...
Persistent link: https://www.econbiz.de/10011298898
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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/10011457568
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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; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30
impact of the Global Financial Crisis. We apply a series of non-parametric based tests utilizing 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 … relative maximum in the most recent period from 2011 to 2012. The entropy based non-parametric tests of the equivalence of the …
Persistent link: https://www.econbiz.de/10011555743
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Real-time information content of macroeconomic data and uncertainty : an application to the Euro area
Glass, Katharina; Fritsche, Ulrich - 2014
three methods: descriptive error statistics, signal-to-noise ratios and entropy measures. Our results document a trend of …, Euro area signal-noise-ratios and entropy measures are correlated with popular uncertainty proxies, Euro area news …
Persistent link: https://www.econbiz.de/10010425751