The Cross-Sectional Intrinsic Entropy—A Comprehensive Stock Market Volatility Estimator
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 (<i>CSIE</i>) is defined and computed as a daily volatility...
में बचाया:
| मुख्य लेखकों: | , |
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| स्वरूप: | Artigo |
| भाषा: | Inglês |
| प्रकाशित: |
MDPI AG
2022-04-01
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| श्रृंखला: | Entropy |
| विषय: | |
| ऑनलाइन पहुंच: | https://www.mdpi.com/1099-4300/24/5/623 |
| टैग: |
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