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Maximum entropy autoregressive conditional heteroskedasticity model

Park, Sung Y., Bera, Anil K.·2009·Journal of Econometrics

DOI 10.1016/j.jeconom.2008.12.014

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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.
ORCID: Park, Sung Y.
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)
DOI: 10.1016/j.jeconom.2008.12.014
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
Licence: www.elsevier.com/tdm/userlicense/1.0/ (tdm)
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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