Density forecast of financial returns using decomposition and maximum entropy

DOI10.1515/JEM-2020-0014OpenAlexW4200118318MaRDI QIDQ2694014FDOQ2694014

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

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• scientific article; zbMATH DE number 5035825

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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