Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results
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.
|Date of creation:||2009|
|Date of revision:|
|Contact details of provider:|| Web page: https://www.iwf.rw.fau.de/|
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