Equity Market Description under High and Low Volatility Regimes Using Maximum Entropy Pairwise Distribution

The financial market is a complex system in which the assets influence each other, causing, among other factors, price interactions and co-movement of returns. Using the Maximum Entropy Principle approach, we analyze the interactions between a selected set of stock assets and equity indices under di...

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Detalles Bibliográficos
Autores principales: Valle, Mauricio A., Lavín, Jaime F., Magner, Nicolás S.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8534913/
https://www.ncbi.nlm.nih.gov/pubmed/34682031
http://dx.doi.org/10.3390/e23101307

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8534913/
https://www.ncbi.nlm.nih.gov/pubmed/34682031
http://dx.doi.org/10.3390/e23101307

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