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Real-time information content of macroeconomic data and uncertainty : an application to the Euro area

Glass, Katharina; Fritsche, Ulrich - 2014

three methods: descriptive error statistics, signal-to-noise ratios and entropy measures. Our results document a trend of …, Euro area signal-noise-ratios and entropy measures are correlated with popular uncertainty proxies, Euro area news …

Persistent link: https://www.econbiz.de/10010425751

The role of temperature in economic exchange : an empirical analysis

Dimitrijević, Bojan; Lovre, Ivan - In: Journal of central banking theory and practice 4 (2015) 3, pp. 65-89

Persistent link: https://www.econbiz.de/10011373218

A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30

impact of the Global Financial Crisis. We apply a series of non-parametric based tests utilizing entropy based metrics. These … suggest that the PDFs and CDFs of these two return distributions change shape in various subsample periods. The entropy and MI … relative maximum in the most recent period from 2011 to 2012. The entropy based non-parametric tests of the equivalence of the …

Persistent link: https://www.econbiz.de/10011555743

Term structures of asset prices and returns

Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016

We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...

Persistent link: https://www.econbiz.de/10011457568

Gravitational analysis in regional science and spatial economics : a vector gradient approach to trade

Nijkamp, Peter; Ratajczak, Waldemar - In: International regional science review : IRSR ; an … 44 (2021) 3/4, pp. 400-431

Persistent link: https://www.econbiz.de/10012592652

Impact of monetary policy on financial markets efficiency under speculative bubbles : a non-normal and non-linear entropy-based approach

Alonso-Rivera, Angélica; Cruz-Aké, Salvador; … - In: Análisis económico 34 (2019) 86, pp. 157-178

Persistent link: https://www.econbiz.de/10012229558

Investigation of stock return volatility using Shannon entropy : evidence from ASEAN stock markets

Vo Xuan Vinh; Tran Thi Tuan Anh - In: Afro-Asian Journal of Finance and Accounting : AAJFA 12 (2022) 4, pp. 479-490

Persistent link: https://www.econbiz.de/10013350691

A generalized entropy approach to portfolio selection under a hidden markov model

MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25

Rényi entropy criterion, which summarizes the uncertainty in portfolio returns. Assuming asset returns are projected by a … regime-switching regression model on the two market risk factors, we develop an entropy-based dynamic portfolio selection … empirical Sharpe and return to entropy ratios, the dynamic portfolio under the proposed strategy is much improved in contrast …

Persistent link: https://www.econbiz.de/10013375264

A maximum entropy estimate of uncertainty about a wine rating : what can be deduced about the shape of a latent distribution from one observation?

Bodington, Jeffrey C. - In: Journal of wine economics 17 (2022) 4, pp. 296-310

Persistent link: https://www.econbiz.de/10014307513

Testing the equality of Nifty 50 stocks' volatility risk using correlated F-ratio

Jayakumar, G. S. David Sam; Samuel, W.; Sulthan, A. - In: International Journal of Financial Markets and … 8 (2022) 4, pp. 384-409

Persistent link: https://www.econbiz.de/10014311645