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Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results

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  • Herrmann, Klaus
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    Abstract

    Information-theoretic approaches still play a minor role in financial market analysis. Nonetheless, there have been two very similar approaches evolving during the last years, one in so-called econophysics and the other in econometrics. Both generalize the notion of GARCH processes in an information-theoretic sense and are able to capture skewness and kurtosis better than traditional models. In this article we present both approaches in a more general framework and compare their performance in some illustrative data sets. --

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    Bibliographic Info

    Paper provided by Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW) in its series IWQW Discussion Paper Series with number 07/2009.

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    Date of creation: 2009
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    Handle: RePEc:zbw:iwqwdp:072009

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    Web page: http://www.iwqw.rw.uni-erlangen.de/
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    Keywords: Entropy density; Skewness; Kurtosis; GARCH;

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