Modelling time-varying higher moments with maximum entropy density

DOI10.1016/j.matcom.2008.11.016zbMath1168.91493OpenAlexW1997147462MaRDI QIDQ834290

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

zbMATH Keywords

entropykurtosisskewnessmaximum entropy densityconditional higher moment

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items

Time-varying risk attitude and conditional skewness

Uses Software

• Ox

Cites Work

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

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