Maximum entropy autoregressive conditional heteroskedasticity model
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The Cauchy distribution with scale parameter σ is MaxEnt over R under the restriction E(ln(1+X^2/σ^2))=2 ln 2.
“Interestingly, the Cauchy distribution itself (with scale parameter σ ) is MaxEnt over R under the restriction that E (ln(1 + X 2 /σ 2 )) = 2 ln 2 [35].”
From Is cosmological tuning fine or coarse? (2021) · cites this paper as [35]
Park and Bera list eight MaxEnt distributions for (-∞,∞) and six for [0,∞), corresponding to different restrictions.
“For instance, Park and Bera list eight MaxEnt distributions for ( -∞ , ∞ ) , and six MaxEnt distributions for [0 , ∞ ) , corresponding to different restrictions [35].”
From Is cosmological tuning fine or coarse? (2021) · cites this paper as [35]
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- Authors
- Park, S. Y., & Bera, A. K.
- Affiliations
- Xiamen University (CN)
- University of Illinois Urbana-Champaign (US)
- Corresponding author
- Bera, Anil K.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 2009-06
- Volume
- 150
- Issue
- 2
- Pages
- 219-230
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W2149865537
- Cited by
- 218
- References
- 82
- Citations by year
- 2026: 6 · 2025: 12 · 2024: 11 · 2023: 8 · 2022: 13 · 2021: 20 · 2020: 9 · 2019: 13 · 2018: 17 · 2017: 10 · 2016: 20 · 2015: 20 · 2014: 15 · 2013: 18 · 2012: 16
- FWCI
- 12.96
- Type
- journal article
- Language
- en
- Open access
- closed
- Locations
- Journal of Econometrics (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
- Physical Sciences › Physics and Astronomy › Statistical and Nonlinear Physics › Statistical Mechanics and Entropy
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Complex Systems and Time Series Analysis
- Keywords
- maximum entropy, ARCH models, conditional heteroskedasticity, excess kurtosis, skewness, moment functions, information functional, stock returns, New York Stock Exchange, financial market volatility, stylized facts
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