Maximum entropy autoregressive conditional heteroskedasticity model
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Publication:302193
DOI10.1016/J.JECONOM.2008.12.014zbMATH Open1429.62691OpenAlexW2149865537WikidataQ54214337 ScholiaQ54214337MaRDI QIDQ302193FDOQ302193
Authors: Sung-Young Park, Anil K. Bera 
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.12.014
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- On entropy, entropy-like quantities, and applications
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- No-signaling non-unitary modification of quantum dynamics within a deterministic model of quantization
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- On the performance of the flexible maximum entropy distributions within partially adaptive estimation
- Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
- Asymptotic approximations of expectations of power means
- Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection
- Sometimes size does not matter
- Optimal strategies for selecting project portfolios using uncertain value estimates
- Maximum likelihood characterization of distributions
- A random matrix approach for quantifying model-form uncertainties in turbulence modeling
- An alternative maximum entropy model for time-varying moments with application to financial returns
- Regularization with maximum entropy and quantum electrodynamics: the MERG(E) estimators
- Asymmetric Laplace regression: maximum likelihood, maximum entropy and quantile regression
- Entropy densities with an application to autoregressive conditional skewness and kurtosis.
- Equivocation for the objective Bayesian
- Maximum entropy analysis of consumption-based capital asset pricing model and volatility
- Approaching subjective interval timing with a non-Gaussian perspective
- Multivariate maximum entropy densities applied for multivariate analysis of financial time series
- Is cosmological tuning fine or coarse?
- Uncertainty quantification of derivative instruments
- Density forecast of financial returns using decomposition and maximum entropy
- Rescaling the nonadditivity parameter in Tsallis thermostatistics
- Renyi Entropy based design of heavy tailed distribution for return of financial assets
- Excluded volume effects and fractional viscoelasticity in polymers
- Robustness analysis of generalized Jackson network
- Optimizing the control of transition to turbulence using a Bayesian method
- Information entropy, continuous improvement, and US energy performance: a novel stochastic-entropic analysis for ideal solutions (SEA-IS)
- Information-Theoretic Distribution Test with Application to Normality
- Estimating univariate distributions via relative entropy minimization: case studies on financial and economic data
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