Purpose - We propose a risk factor for idiosyncratic entropy and explore the relationship between this factor and … expected stock returns. Design/methodology/approach - We estimate a cross-sectional model of expected entropy that uses several … common risk factors to predict idiosyncratic entropy. Findings - We find a negative relationship between expected …

entropy to tilt one-step ahead and long-horizon VAR forecasts to match the nowcast and long-horizon forecast from the Survey …

The paper describes a relative entropy procedure for imposing moment restrictions on simulated forecast distributions … relative entropy. The authors illustrate the technique by using several examples that show how restrictions from other … forecasts and from economic theory may be introduced into a model's forecasts …