In this paper we investigate the relationship between the information entropy of the distribution of intraday returns and intraday and daily measures of market risk. Using data on the EUR/JPY exchange rate, we find a negative relationship between entropy and intraday Value-at-Risk, and also between entropy and intraday Expected Shortfall. This relationship is then used to forecast daily Value-at-Risk, using the entropy of the distribution of intraday returns as a predictor
This paper systematically investigates the properties of six kinds of entropy-based risk measures: I...
This paper systematically investigates the properties of six kinds of entropy-based risk measures: I...
conference for helpful comments. David Faulkner’s detailed revision of this paper greatly improves i...
In this paper we investigate the relationship between the information entropy of the distribution of...
The Efficient Market Hypothesis has been well explored in terms of daily responses to market movemen...
The Efficient Market Hypothesis has been well explored in terms of daily responses to market movemen...
This work studies stock markets efficiency and predictability using the information-theoretic concep...
<div><p>We investigate entropy as a financial risk measure. Entropy explains the equity premium of s...
This paper introduces an intrinsic entropy model which can be employed as an indicator for gauging i...
This paper introduces an intrinsic entropy model which can be employed as an indicator for gauging i...
We investigate entropy as a financial risk measure. Entropy explains the equity premium of securitie...
The paper establishes entropy as a measure of risk in asset pricing models by comparing its explanat...
We investigate the relative information efficiency of financial markets by measuring the entropy of ...
This book shows the potential of entropy and information theory in forecasting, including both theor...
This article introduces an intrinsic entropy model that can be used as an indicator to gauge investo...
This paper systematically investigates the properties of six kinds of entropy-based risk measures: I...
This paper systematically investigates the properties of six kinds of entropy-based risk measures: I...
conference for helpful comments. David Faulkner’s detailed revision of this paper greatly improves i...
In this paper we investigate the relationship between the information entropy of the distribution of...
The Efficient Market Hypothesis has been well explored in terms of daily responses to market movemen...
The Efficient Market Hypothesis has been well explored in terms of daily responses to market movemen...
This work studies stock markets efficiency and predictability using the information-theoretic concep...
<div><p>We investigate entropy as a financial risk measure. Entropy explains the equity premium of s...
This paper introduces an intrinsic entropy model which can be employed as an indicator for gauging i...
This paper introduces an intrinsic entropy model which can be employed as an indicator for gauging i...
We investigate entropy as a financial risk measure. Entropy explains the equity premium of securitie...
The paper establishes entropy as a measure of risk in asset pricing models by comparing its explanat...
We investigate the relative information efficiency of financial markets by measuring the entropy of ...
This book shows the potential of entropy and information theory in forecasting, including both theor...
This article introduces an intrinsic entropy model that can be used as an indicator to gauge investo...
This paper systematically investigates the properties of six kinds of entropy-based risk measures: I...
This paper systematically investigates the properties of six kinds of entropy-based risk measures: I...
conference for helpful comments. David Faulkner’s detailed revision of this paper greatly improves i...
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