Showing 1 - 10 of 10,854
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
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
Persistent link: https://www.econbiz.de/10011930502
Persistent link: https://www.econbiz.de/10014311645
saw a rise in suggestions for maximum entropy distributions (e.g. Rockinger and Jondeau, 2002, Park and Bera, 2009 or … ; APARCH ; Entropy density ; Skewness ; Kurtosis …
Persistent link: https://www.econbiz.de/10003943186
Persistent link: https://www.econbiz.de/10003965134
Persistent link: https://www.econbiz.de/10011398072
Persistent link: https://www.econbiz.de/10010518968
Persistent link: https://www.econbiz.de/10011535572
Persistent link: https://www.econbiz.de/10009515168