Entropy and predictability of stock market returns

Journal of Econometrics

Volumn 107, Issue 1-2, 2002, Pages 291-312

  Maasoumi, Esfandiar ^a   Racine, Jeff ^b  

^a SOUTHERN METHODIST UNIVERSITY   (United States)

^b UNIVERSITY OF SOUTH FLORIDA   (United States)

Author keywords

Dependence; Entropy; Neural networks; Nonlinear; Nonparametric; Prediction; Stock returns

Indexed keywords

COMPUTER SIMULATION; ENTROPY; FORECASTING; MARKETING; MONTE CARLO METHODS; NEURAL NETWORKS; PARAMETER ESTIMATION; STATISTICS; STRATEGIC PLANNING;

STOCK MARKETS;

INDUSTRIAL ECONOMICS;

EID: 0347354955     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(01)00125-7     Document Type: Article

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