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Title:Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results PDF Logo
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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