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Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) >
Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW), Universität Erlangen-Nürnberg >
IWQW Discussion Paper Series, FAU Erlangen-Nürnberg >
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http://hdl.handle.net/10419/29559
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| Title: | | Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results  |
| Authors: | | Herrmann, Klaus |
| Issue Date: | | 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 |
| Appears in Collections: | | IWQW Discussion Paper Series, FAU Erlangen-Nürnberg
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