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Asymmetry in stock comovements : an entropy approach

Jiang, Lei; Wu, Ke; Zhou, Guofu - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 4, pp. 1479-1507

Persistent link: https://www.econbiz.de/10011930502

Asymmetry in Stock Comovements : An Entropy Approach

Jiang, Lei - 2020

We provide an entropy approach for measuring asymmetric comovement between the return on a single asset and the market …. Moreover, our approach also provides an entropy-based measure of downside asymmetric comovement. In the cross-section of stock …

Persistent link: https://www.econbiz.de/10012856552

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

Dynamic asset pricing models with nonparametric expectations

Wöhrmann, Peter - 2002

Persistent link: https://www.econbiz.de/10001665121

Stock market pattern recognition using symbol entropy analysis

Lavín, Jaime F.; Valle, Mauricio A.; Magner, Nicolás S. - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10014580845

Predictability dynamics of Islamic and conventional equity markets

Sensoy, Ahmet; Aras, Güler; Hacihasanoglu, Erk - In: The North American journal of economics and finance : a … 31 (2015), pp. 222-248

Persistent link: https://www.econbiz.de/10011514222

Applying Approximate Entropy (ApEn) to speculative bubble in the stock market

Bhaduri, Saumitra - In: Journal of emerging market finance 13 (2014) 1, pp. 43-68

Persistent link: https://www.econbiz.de/10011570991

Stock market timing with entropy

Efremidze, Levan; Stanley, Darrol J.; Kinsman, Michael D. - In: The journal of wealth management 18 (2015/16) 3, pp. 57-67

Persistent link: https://www.econbiz.de/10011398072

Entropy trading strategies reveal inefficiencies in Japanese stock market

Efremidze, Levan; Stanley, Darrol J.; Kownatzki, Clemens - In: International review of economics & finance : IREF 75 (2021), pp. 464-477

Persistent link: https://www.econbiz.de/10012692791

The stock market's reaction to macroeconomic news under ambiguity

Viale, Ariel M.; Giannetti, Antoine; Garcia-Feijoó, Luis - In: Financial markets and portfolio management 34 (2020) 1, pp. 65-97

Persistent link: https://www.econbiz.de/10012225035