Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/29559 
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dc.contributor.authorHerrmann, Klausen
dc.date.accessioned2009-11-09-
dc.date.accessioned2010-01-13T14:02:03Z-
dc.date.available2010-01-13T14:02:03Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aFriedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW) |cNürnbergen
dc.relation.ispartofseries|aIWQW Discussion Papers |x07/2009en
dc.subject.jelC22en
dc.subject.ddc330en
dc.subject.keywordEntropy densityen
dc.subject.keywordSkewnessen
dc.subject.keywordKurtosisen
dc.subject.keywordGARCHen
dc.subject.stwARCH-Modellen
dc.subject.stwInformationen
dc.subject.stwEntropieen
dc.subject.stwFinanzmarkten
dc.subject.stwTheorieen
dc.titleNon-Extensitivity versus informative moments for financial models: a unifying framework and empirical results-
dc.type|aWorking Paperen
dc.identifier.ppn61250588Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:iwqwdp:072009en

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