Maximum entropy autoregressive conditional heteroskedasticity model
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Cites work
- scientific article; zbMATH DE number 1082203 (Why is no real title available?)
- scientific article; zbMATH DE number 837911 (Why is no real title available?)
- scientific article; zbMATH DE number 3426633 (Why is no real title available?)
- A Mathematical Theory of Communication
- An Information-Theoretic Alternative to Generalized Method of Moments Estimation
- An Optimum Property of Regular Maximum Likelihood Estimation
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
- Generalized autoregressive conditional heteroscedasticity
- Maximum entropy estimation of density and regression functions
- On Bayesian Modeling of Fat Tails and Skewness
- On the bias in flexible functional forms and an essentially unbiased form. The Fourier flexible form
- Semi-Nonparametric Maximum Likelihood Estimation
- Spline smoothing: The equivalent variable kernel method
- Testing time reversibility without moment restrictions
- The information matrix test with bootstrap-based covariance matrix estimation
Cited in
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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
- Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection
- Asymptotic approximations of expectations of power means
- Sometimes size does not matter
- Optimal strategies for selecting project portfolios using uncertain value estimates
- A random matrix approach for quantifying model-form uncertainties in turbulence modeling
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- An alternative maximum entropy model for time-varying moments with application to financial returns
- Asymmetric Laplace regression: maximum likelihood, maximum entropy and quantile regression
- Regularization with maximum entropy and quantum electrodynamics: the MERG(E) estimators
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- 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)
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