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Entropy densities

  • ROCKINGER, Michael
  • JONDEAU, Eric

The entropy principle yields, for a given set of 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. This domain is found to be much larger that for Hermite or Edgeworth expansions. Last, we show how this technique can be used to estimate a GARCH model where skewness and kurtosis are time varying.

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Paper provided by HEC Paris in its series Les Cahiers de Recherche with number 709.

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Length: 19 pages
Date of creation: 01 Feb 2000
Date of revision:
Handle: RePEc:ebg:heccah:0709
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