An Alternative Maximum Entropy Model for Time-Varying Moments with Application to Financial Returns

DOI10.2202/1558-3708.1694zbMath1193.91173OpenAlexW2023465917MaRDI QIDQ3574769

Klaus Herrmann, Matthias Fischer

Publication date: 2 July 2010

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1694

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Statistical aspects of information-theoretic topics (62B10)

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