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Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle

Guyon, Julien - In: Finance and stochastics 28 (2024) 1, pp. 27-79

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Calibration of local-stochastic volatility models by optimal transport

Guo, Ivan; Loeper, Grégoire; Wang, Shiyi - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 46-77

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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

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

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Networks of log returns and volatilities of international stock market indexes

Sandoval Junior, Leonidas - In: The journal of network theory in finance 3 (2017) 3, pp. 41-82

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Current volatility as a measure of market risk

Kussy, Mikhail - In: International journal of risk assessment and management … 20 (2017) 4, pp. 333-349

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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

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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

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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

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