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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 >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/29559
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Herrmann, Klaus | | en_US |
| dc.date.accessioned | | 2009-11-09 | | en_US |
| dc.date.accessioned | | 2010-01-13T14:02:03Z | | - |
| dc.date.available | | 2010-01-13T14:02:03Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/29559 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Univ., Inst. für Wirtschaftspolitik und Quantitative Wirtschaftsforschung Erlangen | | en_US |
| dc.relation.ispartofseries | | IWQW discussion paper series 07/2009 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Entropy density | | en_US |
| dc.subject.keyword | | Skewness | | en_US |
| dc.subject.keyword | | Kurtosis | | en_US |
| dc.subject.keyword | | GARCH | | en_US |
| dc.subject.stw | | ARCH-Modell | | en_US |
| dc.subject.stw | | Information | | en_US |
| dc.subject.stw | | Entropie | | en_US |
| dc.subject.stw | | Finanzmarkt | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 61250588X | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:iwqwdp:072009 | | - |
| Appears in Collections: | | IWQW Discussion Paper Series, FAU Erlangen-Nürnberg
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