Maximum entropy autoregressive conditional heteroskedasticity model

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Volatility models with innovations from new maximum entropy densities at work (2010, background): “Parallel to these flexible but to some extend arbitrary chosen parametric distributions, recent years saw a rise in suggestions for maximum entropy distributions (e.g. Rockinger and Jondeau, 2002, Park and Bera, 2009 or Fischer and Herrmann, 2010).”
An Algorithmic Perspective on Imitation Learning (2018, background): “As Park and Bera [2009] indicated, Gaussian distribution is one of the maximum entropy distributions.”
Asymmetric Laplace Regression: Maximum Likelihood, Maximum Entropy and Quantile Regression (2015, methodology): “By so doing, the ALPD-ML estimator combines the information in the mean and the median to capture the asymmetry of the underlying empirical distribution (see Park and Bera 2009 , for a discussion).”
Models for Time-varying Moments Using Maximum Entropy Applied to a Generalized Measure of Volatility (2008, methodology): “1 Introduction Information-theoretic approaches have become more and more popular in econometrics in recent years.(2) Especially the idea of characterizing observable but unknown distributions through their moments and some information measure has found new applications from income distributions(3) ”