The DOI matches its Crossref record; 82 of the 82 references it cites were found in a registry or an index.
Maximum entropy autoregressive conditional heteroskedasticity model
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In the citing paper
“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]
In the citing paper
“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]
Citations
Cites
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Shannon, C. E. (1948) · The MIT Press eBooks · doi:10.1002/j.1538-7305.1948.tb00917.x · Cited by 50,201
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,346
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
On Information and Sufficiency
Kullback, S., & Leibler, R. A. (1951) · The Annals of Mathematical Statistics · doi:10.1214/aoms/1177729694 · Cited by 20,193
Large Sample Properties of Generalized Method of Moments Estimators
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Rao, C. R. (1973) · Wiley series in probability and statistics · doi:10.1002/9780470316436 · Cited by 10,474
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,278
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
Maximum Likelihood Estimation of Misspecified Models
White, H. (1983) · Econometrica · doi:10.2307/1912004 · Cited by 3,705
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Asymptotic approximations of expectations of power means
Burić, T., & Mihoković, L. (2023) · Statistica Neerlandica · doi:10.1111/stan.12331
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Yang, W., Peng, L., Li, G., & Liu, H. S. (2024) · SSRN Electronic Journal · doi:10.2139/ssrn.4998666
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Yang, W., Peng, L., Li, G., & Hong, L. (2025) · Chaos An Interdisciplinary Journal of Nonlinear Science · doi:10.1063/5.0261211
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Zhuang, X., Chen, Z., Xue, C., Xu, X., Wang, C., Liu, H.-Y., Tan, M.-Y., Sun, T.-P., Wang, Y.-J., Zhang, J.-X., et al. (2026) · npj Quantum Information · doi:10.1038/s41534-026-01191-5
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How does brain size influence the network properties of the cortex?
Gamanut, A. R. (2016) · theses.fr (ABES) · doi:10.70675/95831b16zc60cz4b46za557z4c90134677ea
Li, J., & Mendris, R. (2026) · Optimization · doi:10.1080/02331934.2026.2716847
Zentner, I. (2026) · SSRN Electronic Journal · doi:10.2139/ssrn.7447356
الحميد, م. خ. ع., & الراشد, ا. ع. ا. (2026) · Tikrit Journal of Administrative and Economic Sciences · doi:10.25130/tjaes.22.74.2.40
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Metadata
- 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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