Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results

Klaus Herrmann

No 07/2009, FAU Discussion Papers in Economics from Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics

Abstract: Information-theoretic approaches still play a minor role in financial market analysis. Nonetheless, there have been two very similar approaches evolving during the last years, one in so-called econophysics and the other in econometrics. Both generalize the notion of GARCH processes in an information-theoretic sense and are able to capture skewness and kurtosis better than traditional models. In this article we present both approaches in a more general framework and compare their performance in some illustrative data sets.

Keywords: Entropy density; Skewness; Kurtosis; GARCH (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:iwqwdp:072009

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