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
A Mathematical Theory of Communication
Shannon, C. E. (1948) · Bell System Technical Journal · doi:10.1002/j.1538-7305.1948.tb01338.x · Cited by 88,486
A Mathematical Theory of Communication
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
Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
Linear Statistical Inference and its Applications
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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An algorithmic perspective on imitation learning
Osa, T., Pajarinen, J., Neumann, G., Bagnell, J. A., Abbeel, P., & Peters, J. (2018) · Foundations and Trends in Robotics · doi:10.1561/2300000053 · Cited by 405
An Algorithmic Perspective on Imitation Learning
Osa, T., Pajarinen, J., Neumann, G. M., Bagnell, J. A., Abbeel, P., & Peters, J. (2018) · now publishers, Inc. eBooks · doi:10.1561/9781680834116 · Cited by 394
Horvát, S., Gămănuț, R., Ercsey-Ravasz, M., Magrou, L., Gămănuț, B., Van Essen, D. C., Burkhalter, A., Knoblauch, K., Toroczkai, Z., & Kennedy, H. (2016) · PLoS Biology · doi:10.1371/journal.pbio.1002512 · Cited by 198
Quantile Uncertainty and Value‐at‐Risk Model Risk
Alexander, C., & Sarabia, J. M. (2012) · Risk Analysis · doi:10.1111/j.1539-6924.2012.01824.x · Cited by 77
Imani, A., Farzi, G., & Ltaief, A. (2013) · International nano letters. · doi:10.1186/2228-5326-3-52 · Cited by 75
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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