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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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Asymmetry in Stock Comovements : An Entropy Approach
Jiang, Lei - 2020
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
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Asymmetry in stock comovements : an entropy approach
Jiang, Lei; Wu, Ke; Zhou, Guofu - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 4, pp. 1479-1507
Persistent link: https://www.econbiz.de/10011930502
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Dynamics of randomness and efficiency in the Indian stock markets
Kumar, S. Sujeesh; Nandamohan, V. - In: International journal of financial markets and derivatives 6 (2018) 4, pp. 287-320
Persistent link: https://www.econbiz.de/10011996872
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Investigation of stock return volatility using Shannon entropy : evidence from ASEAN stock markets
Xuan Vinh Vo; Tran Thi Tuan Anh - In: Afro-Asian Journal of Finance and Accounting : AAJFA 12 (2022) 4, pp. 479-490
Persistent link: https://www.econbiz.de/10013350691
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Testing the equality of Nifty 50 stocks' volatility risk using correlated F-ratio
Jayakumar, G. S. David Sam; Samuel, W.; Sulthan, A. - In: International Journal of Financial Markets and … 8 (2022) 4, pp. 384-409
Persistent link: https://www.econbiz.de/10014311645
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Non-linear time series invariants to study price manipulation in stock market
Reddy, Y. V.; Sebastin, A. - In: Metamorphosis : a journal of management research 7 (2008) 1, pp. 7-23
Persistent link: https://www.econbiz.de/10003773766
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Volatility models with innovations from new maximum entropy densities at work
Fischer, Matthias; Gao, Yang; Herrmann, Klaus - 2010
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
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Nonparametric entropy-based tests of independence between stochastic processes
Fernandes, Marcelo; Néri, Breno de Andrade Pinheiro - In: Econometric reviews 29 (2010) 3, pp. 276-306
Persistent link: https://www.econbiz.de/10003965134