Narrow search
Showing 1 - 10 of 9,838
Cover Image
Crash Risk in Currency Returns
Chernov, Mikhail - 2015
% (and can be as high as 40%) of total currency risk, as measured by the entropy of exchange rate changes, over horizons of …
Persistent link: https://www.econbiz.de/10013037072
Cover Image
Crash risk in currency returns
Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 1, pp. 137-170
Persistent link: https://www.econbiz.de/10011929414
Cover Image
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
Cover Image
Models for time-varying moments using maximum entropy applied to a generalized measure of volatility
Herrmann, Klaus - 2008
for our method. -- Information Theory ; Maximum Entropy ; GARCH ; Volatility …
Persistent link: https://www.econbiz.de/10003894706
Cover Image
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
Cover Image
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
Cover Image
Stationarity and ergodicity of univariate generalized autoregressive score processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2012
Persistent link: https://www.econbiz.de/10009722625
Cover Image
DEA models incorporating uncertain future performance
Chang, Tsung-Sheng; Tone, Kaoru; Wu, Chen-Hui - In: European journal of operational research : EJOR 254 (2016) 2, pp. 532-549
Persistent link: https://www.econbiz.de/10011508965
Cover Image
Stochastic volatility models, correlation, and the q-optimal measure
Hobson, David G. - In: Mathematical finance : an international journal of … 14 (2004) 4, pp. 537-556
Persistent link: https://www.econbiz.de/10002396346
Cover Image
Building a consistent pricing model from observed option prices
Laurent, Jean-Paul; Leisen, Dietmar - 1998
Persistent link: https://www.econbiz.de/10001355935