@techreport{Herrmann2009Extensitivity,
abstract = {Information-theoretic approaches still play a minor role in financial market analysis. Nonetheless, there have been two very similar approaches evolving during the last years, one in so-called econophysics and the other in econometrics. Both generalize the notion of GARCH processes in an information-theoretic sense and are able to capture skewness and kurtosis better than traditional models. In this article we present both approaches in a more general framework and compare their performance in some illustrative data sets.},
address = {Erlangen},
author = {Klaus Herrmann},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C22; 330; Entropy density; Skewness; Kurtosis; GARCH; ARCH-Modell; Information; Entropie; Finanzmarkt; Theorie},
language = {eng},
number = {07/2009},
publisher = {Univ., Inst. f\"{u}r Wirtschaftspolitik und Quantitative Wirtschaftsforschung},
title = {Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results},
type = {IWQW discussion paper series},
url = {http://hdl.handle.net/10419/29559},
year = {2009}
}
