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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Herrmann, Klaus | en |
dc.date.accessioned | 2009-11-09 | - |
dc.date.accessioned | 2010-01-13T14:02:03Z | - |
dc.date.available | 2010-01-13T14:02:03Z | - |
dc.date.issued | 2009 | - |
dc.identifier.uri | http://hdl.handle.net/10419/29559 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aFriedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW) |cNürnberg | en |
dc.relation.ispartofseries | |aIWQW Discussion Papers |x07/2009 | en |
dc.subject.jel | C22 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Entropy density | en |
dc.subject.keyword | Skewness | en |
dc.subject.keyword | Kurtosis | en |
dc.subject.keyword | GARCH | en |
dc.subject.stw | ARCH-Modell | en |
dc.subject.stw | Information | en |
dc.subject.stw | Entropie | en |
dc.subject.stw | Finanzmarkt | en |
dc.subject.stw | Theorie | en |
dc.title | Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 61250588X | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:iwqwdp:072009 | en |
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