Entropy Densities: With an Application to Autoregressive Conditional Skewness and Kurtosis

By Michael Rockinger, Eric Jondeau. 2002

250 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/bde95ce8c23a86700d42c90fc26c5c8bd24e74ee

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Markus Haas
2. Marc S. Paolella
3. Stefan Mittnik
4. Curran Crawford
5. T. Williams
6. K. Herrmann
7. Keith Kuester
8. Sébastien-Yves Laurent

In Finance

1. Marc S. Paolella
2. Stefan Mittnik
3. Keith Kuester
4. Markus Haas
5. Curran Crawford
6. T. Williams
7. K. Herrmann
8. Matthias Fischer

In Global and Planetary Change

1. Curran Crawford
2. T. Williams
3. Stefan Mittnik
4. Marc S. Paolella
5. K. Herrmann
6. Keith Kuester
7. Marco Rocco
8. Jose Olmo

Citations in the corpus

• Pricing and Inference with Mixtures of Conditionally Normal Processes (2009, unknown): “…of asset returns as volatility clustering, heavy tails and asymmetries, but also new emerging behaviours like time-varying skewness and kurtosis as indicated in the papers of Hansen (1994), Paolella (1999), Harvey and Siddique (1999), Brännäs and Nordman (2001), Rockinger and Jondeau (2002)8.”
• Models for Time-varying Moments Using Maximum Entropy Applied to a Generalized Measure of Volatility (2008, methodology): “Similar interpretations of GARCH models have been used in Rockinger and Jondeau (2002), Fischer and Herrmann (2008), Bera and Park (2008) and Queirós and Tsallis (2005).”
• 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).”
• Mixed Normal Conditional Heteroskedasticity (2004, background): “Moreover, building on work by Hansen (1994), the studies of Paolella (1999), Harvey and Siddique (1999), Brännäs and Nordman (2001), and Rockinger and Jondeau (2002) employ autoregressive–type structures to allow for time variation in the skewness and, in some cases, also kurtosis.”
• Option-Implied Risk-Neutral Distributions and Risk Aversion (2004, unknown): “…fitted to implied volatilities across deltas Mayhew (1995) Cur +/– Cubic splines fitted to implied volatilities Pritsker (1998) Ker + Kernel estimator Rockinger and Jondeau (2002) Max +/– Maximum entropy with normal, t, and generalized error distribution priors, added restrictions…”
• Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005, methodology): “…that is, the density of the unconditional return distribution is more peaked around the center and possesses much fatter tails than the normal density; and (iii) mild skewness of the returns, possibly of a time-varying nature [see, e.g., Harvey and Siddique (1999), Rockinger and Jondeau (2002)].”