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 (CSIE) is defined and computed as a daily volatility estimat...

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Detalles Bibliográficos
Autores principales: Vințe, Claudiu, Ausloos, Marcel
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9141796/
https://www.ncbi.nlm.nih.gov/pubmed/35626508
http://dx.doi.org/10.3390/e24050623

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9141796/
https://www.ncbi.nlm.nih.gov/pubmed/35626508
http://dx.doi.org/10.3390/e24050623

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