English, Article, Journal or magazine article edition: Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis. Rockinger, M.; Jondeau, E.

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Bookmark: http://trove.nla.gov.au/version/66401
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis.
Author
  • Rockinger, M.
  • Jondeau, E.
Physical Description
  • preprint
Notes
  • 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.
  • Semi-nonparametric estimation ; Time-varying skewness and kurtosis ; GARCH.
  • RePEc:bfr:banfra:79
Language
  • English
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