Modelling time-varying higher moments with maximum entropy density
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Publication:834290
DOI10.1016/J.MATCOM.2008.11.016zbMATH Open1168.91493OpenAlexW1997147462MaRDI QIDQ834290FDOQ834290
Authors: Felix T. S. Chan 
Publication date: 19 August 2009
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2008.11.016
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Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A Mathematical Theory of Communication
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Minimum Hellinger distance estimates for parametric models
- Entropy densities with an application to autoregressive conditional skewness and kurtosis.
- Calculation of maximum entropy densities with application to income distribution
- Autoregressive Conditional Density Estimation
- Entropy-convergence in Stieltjes and Hamburger moment problem
- Minimum alpha-divergence estimation for arch models
Cited In (4)
- Maximum entropy autoregressive conditional heteroskedasticity model
- Density Forecasting with Time‐Varying Higher Moments: A Model Confidence Set Approach
- An alternative maximum entropy model for time-varying moments with application to financial returns
- Time-varying risk attitude and conditional skewness
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