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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 …
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framework forms the basis for an entropy-based stacking model to address issues of inconsistency and bias in classification … individual base models, the proposed entropy-based stacking model provides more consistent performance across multiple data …
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We investigate any similarity and dependence based on the full distributions of cryptocurrency assets, stock indices and industry groups. We characterize full distributions with entropies to account for higher moments and non-Gaussianity of returns. Divergence and distance between distributions...
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