the stock prices of these companies using entropy measures. The entropy and Mutual Information (MI) statistics permit an … analysis of the amount of information within the sentiment series, its relationship to the DJIA and an indication of how the …

for our method. -- Information Theory ; Maximum Entropy ; GARCH ; Volatility …We use an information-theoretic approach to interpret Engle's (1982) and Bollerslev's (1986) GARCH model as a model for …

Information-theoretic approaches still play a minor role in financial market analysis. Nonetheless, there have been two … generalize the notion of GARCH processes in an information-theoretic sense and are able to capture skewness and kurtosis better … performance in some illustrative data sets. -- Entropy density ; Skewness ; Kurtosis, GARCH …