Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis

Michael Rockinger () and Eric Jondeau

Working papers from Banque de France

Abstract: The entropy principle yields, for a given set moments, a density that involves the smallest amount of prior information. We first show how entropy densities may be constructed in a numerically efficient way as the minimization of a potential. Next, for the case where the first four moments are given, we characterize the skewness-Kurtosis domain for which densities are defined.

Keywords: Semi-nonparametric estimation; Time-varying skewness and kurtosis; GARCH. (search for similar items in EconPapers)
JEL-codes: C40 C61 G10 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2001
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Journal Article: Entropy densities with an application to autoregressive conditional skewness and kurtosis (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:79

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