Density forecast of financial returns using decomposition and maximum entropy

DOI10.1515/JEM-2020-0014MaRDI QIDQ2694014zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 27 March 2023

Published in Journal of Econometric Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/jem-2020-0014

zbMATH Keywords

copuladecompositioncontinuous ranked probability scoremaximum entropydensity forecastVaRlogarithmic scoremoment constraintquantile score

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(3)

• Modeling financial return dynamics via decomposition
• Modeling the predictive power of the singular value decomposition-based entropy. Empirical evidence from the Dow Jones Global Titans 50 index
• Multivariate return decomposition: theory and implications

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