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Entropy-based optimization of nonlinear separable discrete decision models

Nakagawa, Yuji; James, Ross J. W.; Rego, César; … - In: Management science : journal of the Institute for … 60 (2014) 3, pp. 695-707

Persistent link: https://www.econbiz.de/10010347887

Filling in the blanks : network structure and interbank contagion

Anand, Kartik; Craig, Ben R.; Von Peter, Goetz - 2014

unknown, and maximum entropy serves as the leading method for estimating unobserved counterparty exposures. This paper … entropy and also permits more robust analysis. Using the two benchmarks side by side helps identify a range of possible …

Persistent link: https://www.econbiz.de/10010249740

The uncertainty of systemic risk

Ilin, Thomas; Varga, Liz - In: Risk management : a journal of risk, crisis and disaster 17 (2015) 4, pp. 240-275

Persistent link: https://www.econbiz.de/10011439474

Modelling inter-regional trade flows : data and methodological issues in Rhomolo

Ivanova, Olga; Kancs, D'Artis; Stelder, Dirk - 2009

used for modelling purposes. We propose an augmented entropy approach, which combines the Transtools model’s inter …

Persistent link: https://www.econbiz.de/10011523989

Vulnerable growth

Adrian, Tobias; Boyarchenko, Nina; Giannone, Domenico - 2017 - Revised November 2017

We study the conditional distribution of GDP growth as a function of economic and financial conditions. Deteriorating financial conditions are associated with an increase in the conditional volatility and a decline in the conditional mean of GDP growth, leading the lower quantiles of GDP growth...

Persistent link: https://www.econbiz.de/10011547698

An entropy based analysis of the relationship between the DOW JONES Index and the TRNA sentiment series

Allen, David E.; McAleer, Michael; Singh, Abhay K - 2016

the stock prices of these companies using entropy measures. The entropy and Mutual Information (MI) statistics permit an …

Persistent link: https://www.econbiz.de/10011456716

Term structures of asset prices and returns

Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016

We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...

Persistent link: https://www.econbiz.de/10011457568

On entropy and portfolio diversification

Pola, Gianni - In: The journal of asset management 17 (2016) 4, pp. 218-228

Persistent link: https://www.econbiz.de/10011504204

A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30

impact of the Global Financial Crisis. We apply a series of non-parametric based tests utilizing entropy based metrics. These … suggest that the PDFs and CDFs of these two return distributions change shape in various subsample periods. The entropy and MI … relative maximum in the most recent period from 2011 to 2012. The entropy based non-parametric tests of the equivalence of the …

Persistent link: https://www.econbiz.de/10011555743

A hybrid adaptive decision system for supply chain reconfiguration

Dev, Navin K.; Shankar, Ravi; Gunasekaran, Angappa; … - In: International journal of production research 54 (2016) 23/24, pp. 7100-7114

Persistent link: https://www.econbiz.de/10011566277