Entropy and predictability of stock market returns

Esfandiar Maasoumi () and Jeffrey Scott Racine ()

Journal of Econometrics, 2002, vol. 107, issue 1-2, pages 291-312

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Journal of Econometrics is edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao, P. M. Robinson and A. Zellner

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