Entropy Based Student’s <i>t</i>-Process Dynamical Model
Volatility, which represents the magnitude of fluctuating asset prices or returns, is used in the problems of finance to design optimal asset allocations and to calculate the price of derivatives. Since volatility is unobservable, it is identified and estimated by latent variable models known as vol...
Main Authors: | Ayumu Nono, Yusuke Uchiyama, Kei Nakagawa |
---|---|
Format: | Article |
Language: | English |
Published: |
MDPI AG
2021-04-01
|
Series: | Entropy |
Subjects: | |
Online Access: | https://www.mdpi.com/1099-4300/23/5/560 |
Similar Items
-
Amplitude- and Fluctuation-Based Dispersion Entropy
by: Hamed Azami, et al.
Published: (2018-03-01) -
Double Feature Extraction Method of Ship-Radiated Noise Signal Based on Slope Entropy and Permutation Entropy
by: Yuxing Li, et al.
Published: (2021-12-01) -
Entropy Evaluation Based on Value Validity
by: Tarald O. Kvålseth
Published: (2014-09-01) -
Entropy Optimization, Generalized Logarithms, and Duality Relations
by: Angel R. Plastino, et al.
Published: (2022-11-01) -
Entropy, Fluctuation Magnified and Internal Interactions
by: Yi-Fang Chang
Published: (2005-08-01)