On non-Gaussianity and dependence in financial time series: a nonextensive approach

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Volatility models with innovations from new maximum entropy densities at work (2010, background): “Parallel to these parametric distributions, recent years saw a rise in suggestions for maximum entropy (ME) distributions examined by econometricians, see e.g Rockinger and Jondeau (2002), Park and Bera (2009) or Fischer and Herrmann (2010), as well as by physicians, see. e.g. Quéiros (2005).”