In this paper we construct the minimal entropy martingale for semi-Markov regime switching interest rate models using some general entropy measures. We prove that, for the one-period model, the minimal entropy martingale for semi-Markov processes in the case of the Tsallis and Kaniadakis...

The volatility analysis of stock returns data is paramount in financial studies. We investigate the dynamics of volatility and randomness of the Pakistan Stock Exchange (PSX-100) and obtain insights into the behavior of investors during and before the coronavirus disease (COVID-19 pandemic). The...

The volatility analysis of stock returns data is paramount in financial studies. We investigate the dynamics of volatility and randomness of the Pakistan Stock Exchange (PSX-100) and obtain insights into the behavior of investors during and before the coronavirus disease (COVID-19 pandemic). The...