Modelling time-varying higher moments with maximum entropy density

Mathematics and Computers in Simulation

Volumn 79, Issue 9, 2009, Pages 2767-2778

  Chan, Felix ^a  

^a CURTIN UNIVERSITY   (Australia)

Author keywords

Conditional higher moment; Entropy; Kurtosis; Maximum entropy density; Skewness

Indexed keywords

AUTO-REGRESSIVE; COMPUTATION TIME; COMPUTATIONAL TIME; CONDITIONAL HIGHER MOMENT; DYNAMIC CHANGES; DYNAMIC STRUCTURE; EURO/USD; EXCHANGE RATES; FINANCIAL RETURNS; FINITE ORDER; HETEROSCEDASTICITY; HIGH COSTS; HIGHER MOMENTS; HIGHER ORDER MOMENTS; KURTOSIS; MAXIMUM ENTROPY; MAXIMUM ENTROPY DENSITY; MODELLING TIME; QUASI-MAXIMUM LIKELIHOOD ESTIMATORS; SECOND MOMENTS; SKEWNESS; UNDERLYING DISTRIBUTION; UNITED KINGDOM; VALUE AT RISK;

ARCHES; DISTRIBUTION FUNCTIONS; ENTROPY; MAXIMUM LIKELIHOOD; RISK ANALYSIS; RISK ASSESSMENT; RISK MANAGEMENT; RISK PERCEPTION; VALUE ENGINEERING;

NORMAL DISTRIBUTION;

EID: 67349083561     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.matcom.2008.11.016     Document Type: Article

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