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Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis

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  • Rockinger, M.
  • Jondeau, E.

Abstract

The entropy principle yields, for a given set moments, a density that involves the smallest amount of prior information. We first show how entropy densities may be constructed in a numerically efficient way as the minimization of a potential. Next, for the case where the first four moments are given, we characterize the skewness-Kurtosis domain for which densities are defined.

Suggested Citation

  • Rockinger, M. & Jondeau, E., 2001. "Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis," Working papers 79, Banque de France.
    • Handle: RePEc:bfr:banfra:79
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    References listed on IDEAS

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    More about this item

    Keywords

    Semi-nonparametric estimation ; Time-varying skewness and kurtosis ; GARCH.;
    All these keywords.

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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