Maximum entropy autoregressive conditional heteroskedasticity model

Journal of Econometrics

Volumn 150, Issue 2, 2009, Pages 219-230

  Park, Sung Y ^a   Bera, Anil K ^b  

^a XIAMEN UNIVERSITY   (China)

^b UNIVERSITY OF ILLINOIS AT URBANA CHAMPAIGN   (United States)

Author keywords

ARCH models; Asymmetry; Excess kurtosis; Maximum entropy density; Peakedness of distribution; Stock returns data

Indexed keywords

ARCH MODELS; ASYMMETRY; EXCESS KURTOSIS; MAXIMUM ENTROPY DENSITY; PEAKEDNESS OF DISTRIBUTION; STOCK RETURNS DATA;

ARCHES; ENTROPY;

COMPOSITE MICROMECHANICS;

EID: 67349084720     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.12.014     Document Type: Article

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