Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/29559
Authors: 
Herrmann, Klaus
Year of Publication: 
2009
Series/Report no.: 
IWQW discussion paper series 07/2009
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.
Subjects: 
Entropy density
Skewness
Kurtosis
GARCH
JEL: 
C22
Document Type: 
Working Paper

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