Modelling time-varying higher moments with maximum entropy density
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Cites work
- A Mathematical Theory of Communication
- Autoregressive Conditional Density Estimation
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Calculation of maximum entropy densities with application to income distribution
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Entropy densities with an application to autoregressive conditional skewness and kurtosis.
- Entropy-convergence in Stieltjes and Hamburger moment problem
- Generalized autoregressive conditional heteroscedasticity
- Minimum Hellinger distance estimates for parametric models
- Minimum alpha-divergence estimation for arch models
Cited in
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