The Cross-Sectional Intrinsic Entropy-A Comprehensive Stock Market Volatility Estimator.
cross-sectional study
intrinsic entropy
stock market
volatility estimator
Journal
Entropy (Basel, Switzerland)
ISSN: 1099-4300
Titre abrégé: Entropy (Basel)
Pays: Switzerland
ID NLM: 101243874
Informations de publication
Date de publication:
29 Apr 2022
29 Apr 2022
Historique:
received:
21
03
2022
revised:
26
04
2022
accepted:
26
04
2022
entrez:
28
5
2022
pubmed:
29
5
2022
medline:
29
5
2022
Statut:
epublish
Résumé
To take into account the temporal dimension of uncertainty in stock markets, this paper introduces a cross-sectional estimation of stock market volatility based on the intrinsic entropy model. The proposed cross-sectional intrinsic entropy (
Identifiants
pubmed: 35626508
pii: e24050623
doi: 10.3390/e24050623
pmc: PMC9141796
pii:
doi:
Types de publication
Journal Article
Langues
eng
Références
Phys Rev E Stat Nonlin Soft Matter Phys. 2006 Jan;73(1 Pt 1):011105
pubmed: 16486120
Entropy (Basel). 2021 Apr 19;23(4):
pubmed: 33921771