We introduce econometric methods to perform estimation and inference on the permanent and transitory components of the …-run yield and the entropy of the permanent component of the SDF, allowing for a wide variety of empirically relevant setups …. Consistency and convergence rates are established. The estimators of the eigenvalue, yield and entropy are shown to be …

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 … is employed for the estimation of the hidden Markov model including the asset return parameters, while the out …

In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options … number of very important processes in finance. We then obtain an estimation for the distribution of hedging error by … maximising Shannon's entropy subject to a set of moment constraints, which in turn yields the value-at-risk and expected …

estimation. Nonparametric techniques consisting of the maximum entropy bootstrap method and cross-entropy algorithm were applied … inform the directions of FDI. For computational modelling, the AR-GARCH model was created using the maximum entropy bootstrap …. The results show that Indonesia has the nearest cross-entropy (CE) value compared to the whole entropy value, followed by …