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Time series: entropy and informational energy
Mateescu, George Daniel - 2022
Persistent link: https://www.econbiz.de/10013489493
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Settlement Gap Risk
Kappen, Christian - 2017
decomposes into a component driven by market movements and a component driven by settlement payments. In this article, we …. The settlement induced component of gap risk, which we call Settlement Gap Risk (SGR), can be the dominant source of gap …
Persistent link: https://www.econbiz.de/10012941878
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A robust entropy-based test of asymmetry for discrete and continuous processes
Maasoumi, Esfandiar (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003811473
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Dealing with spatiotemporal heterogeneity : the generalized BME model
Yu, Hwa-lung; Christakos, George; Bogaert, Patrick - In: Progress in spatial analysis : methods and applications, (pp. 75-91). 2010
Persistent link: https://www.econbiz.de/10003927387
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Maximum entropy models for time-varying moments applied to daily financial returns
Herrmann, Klaus - 2011
Persistent link: https://www.econbiz.de/10009008742
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Comment on : A new test for chaos and determinism based on symbolic dynamics
Elsinger, Helmut - In: Journal of economic behavior & organization : JEBO 91 (2013), pp. 131-138
Persistent link: https://www.econbiz.de/10009772968
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Stationarity and ergodicity of univariate generalized autoregressive score processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2012
Persistent link: https://www.econbiz.de/10009722625
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Information theoretics-based technoeconomic forecasting : application to telecommunication service industry
Neelakanta, Perambur S.; Yassin, Raef R. - In: Netnomics 13 (2012) 1, pp. 45-78
Persistent link: https://www.econbiz.de/10010244288
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Rank-based entropy tests for serial independence
Diks, Cees G. H.; Panchenko, Valentyn - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10009513640
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On predictability and profitability : would GP induced trading rules be sensitive to the observed entropy of time series?
Navet, Nicolas; Chen, Shu-Heng - In: Natural computing in computational finance ; [the …, (pp. 197-210). 2008
Persistent link: https://www.econbiz.de/10009515168