Multivariate maximum entropy densities applied for multivariate analysis of financial time series

MaRDI QIDQ4604466zbMATH OpenFDO

Authors Yang Gao

Publication date 26 February 2018

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to dynamical systems and ergodic theory (37-02) Entropy and other invariants, isomorphism, classification in ergodic theory (37A35) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(4)

• Sparse moving maxima models for tail dependence in multivariate financial time series
• Multidimensional scaling analysis of financial time series based on modified cross-sample entropy methods
• scientific article; zbMATH DE number 3864935 (Why is no real title available?)
• Structural modeling of aggregated financial ratios.

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