Renyi Entropy based design of heavy tailed distribution for return of financial assets

DOI10.1016/j.physa.2024.129531MaRDI QIDQ6500371

Quang Van Tran, Jaromír Kukal

Publication date: 10 May 2024

Published in: Physica A (Search for Journal in Brave)

zbMATH Keywords

maximum entropy principleRenyi entropyreturns of financial assetsheavy tail distributionMLE parameter estimation

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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