Entropy and predictability of stock market returns.
From MaRDI portal
Publication:1858946
DOI10.1016/S0304-4076(01)00125-7zbMath1043.62090OpenAlexW2070640492MaRDI QIDQ1858946
Esfandiar Maasoumi, Jeff Racine
Publication date: 17 February 2003
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00125-7
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical aspects of information-theoretic topics (62B10)
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