Entropy and predictability of stock market returns

By Esfandiar Maasoumi, Jeffrey S. Racine. 2002

304 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/7c00de67318dd6b6baf79e5a23e55c55069cd896

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Citations in the corpus

Characterizations of joint distributions, copulas, information, dependence and decoupling, with applications to time series (2006, background): “A number of papers have focused on statistical and econometric applications of mutual information and other dependence measures and concepts (see, among others, Lehmann [52], Golan [26], Golan and Perloff [27], Massoumi and Racine [57], Miller and Liu [58], Soofi and Retzer [73] and Ullah [76] and r”
A versatile and robust metric entropy test of time-reversibility, and other hypotheses (2007, methodology): “(1987), Brock et al. (1996)), the TR test of Chen & Kuan (2002), and the entropy-based test S‰ (Granger et al. (2004), Maasoumi & Racine (2002) ).”
Visualising forecasting algorithm performance using time series instance spaces (2017, methodology): “…measures have been widely used in nonlinear analysis to assess the complexity of signals (e.g., Bandt and Pompe, 2002; Fadlallah et al., 2013; Zaccarelli et al., 2013) and to measure the “forecastability” of a time series (Garland, James, and Bradley, 2014; Goerg, 2013; Maasoumi and Racine, 2002).”
Effects of the Booking.com rating system: Bringing hotel class into the picture (2018, unknown): “We used the Tn-statistic proposed by Li et al. (2009) and tests reported in Maasoumi and Racine (2002) to test if the sub-distributions (one for each hotel class) were equal.”
ASYMPTOTIC DISTRIBUTION THEORY FOR NONPARAMETRIC ENTROPY MEASURES OF SERIAL DEPENDENCE (2005, background): “, and S,(j) 2A similar measure that is a metric is the Hellinger distance, considered by Maasoumi and Racine (2002) and Maasoumi, Racine, and Granger (2004).”
The Gender Gap between Earnings Distributions (2019, methodology): “Following Granger, Maasoumi, and Racine (2004) and Maasoumi and Racine (2002), we consider a nonparametric kernel–based implementation of eq.”
Nonlinear neural network forecasting model for stock index option price: Hybrid GJR-GARCH approach (2009, unknown): “…estimated and forecasted stock prices (Black & McMillan, 2004; Donaldson & Kamstra, 1996; Jasic & Wood, 2004; Kanas, 2001; Kanas & Yannopoulos1, 2001; Maasoumi & Racine, 2002; Qi, 1999; Rapach & Wohar, 2005; Shively, 2003) and stock volatilities (Dunis & Huang, 2002; Hamid & Iqbal, 2004).”
Efficient factor GARCH models and factor-DCC models (2009, methodology): “Mutual information has been applied to detect the dependency or to examine the predictability of financial time series (Darbellay and Wuertz 2000 , Maasoumi and Racine 2002 , Dionisio et al.”
A Dependence Metric for Possibly Nonlinear Processes (2004, methodology): “and multivariate numerical quadrature was used for computing the double integral (Lau (1995, pg 303)). For discrete processes, one simply replaces the relevant integrals in the equation above with the summation operator and replaces f̂(·), ĝ(·), and ĥ(·) with the kernel probability estimators in Li ”
Information and Entropy Econometrics - A Review and Synthesis (2008, background): “For more, see for example, Soofi (1994), Holste et al. (1998), Maasoumi and Racine (2002) and Racine and Maasoumi (2007).”
Natural disasters and labor markets (2017, methodology): “Table 2: Nonparametric Entropy Test for Univariate Density Equality (Maasoumi and Racine, 2002)”