Maximum entropy autoregressive conditional heteroskedasticity model

DOI10.1016/j.jeconom.2008.12.014zbMath1429.62691OpenAlexW2149865537WikidataQ54214337 ScholiaQ54214337MaRDI QIDQ302193

Anil K. Bera, Sung Y. Park

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

zbMATH Keywords

asymmetryARCH modelsexcess kurtosismaximum entropy densitypeakedness of distributionstock returns data

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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