Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/29559
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dc.contributor.authorHerrmann, Klausen_US
dc.date.accessioned2009-11-09en_US
dc.date.accessioned2010-01-13T14:02:03Z-
dc.date.available2010-01-13T14:02:03Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/29559-
dc.description.abstractInformation-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.isoengen_US
dc.publisher|aUniv., Inst. für Wirtschaftspolitik und Quantitative Wirtschaftsforschung |cErlangenen_US
dc.relation.ispartofseries|aIWQW discussion paper series |x07/2009en_US
dc.subject.jelC22en_US
dc.subject.ddc330en_US
dc.subject.keywordEntropy densityen_US
dc.subject.keywordSkewnessen_US
dc.subject.keywordKurtosisen_US
dc.subject.keywordGARCHen_US
dc.subject.stwARCH-Modellen_US
dc.subject.stwInformationen_US
dc.subject.stwEntropieen_US
dc.subject.stwFinanzmarkten_US
dc.subject.stwTheorieen_US
dc.titleNon-Extensitivity versus informative moments for financial models: a unifying framework and empirical resultsen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn61250588Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:iwqwdp:072009-

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