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

Klaus Herrmann

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. -- Entropy density ; Skewness ; Kurtosis, GARCH

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Year of publication:	2009
Authors:	Herrmann, Klaus
Publisher:	Erlangen : Univ., Inst. für Wirtschaftspolitik und Quantitative Wirtschaftsforschung
Subject:	ARCH-Modell \| ARCH model \| Information \| Entropie \| Entropy \| Finanzmarkt \| Financial market \| Theorie \| Theory