Cargando…

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...

Descripción completa

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

Ejemplares similares

A Volatility Estimator of Stock Market Indices Based on the Intrinsic Entropy Model
por: Vințe, Claudiu, et al.
Publicado: (2021)

An Intrinsic Entropy Model for Exchange-Traded Securities
por: Vințe, Claudiu, et al.
Publicado: (2019)

Modelling stock market volatility.
Publicado: (1996)

Volatility connectedness of GCC stock markets: how global oil price volatility drives volatility spillover in GCC stock markets?
por: Hussain, Muntazir, et al.
Publicado: (2022)

Liquidity and volatility commonality in the Canadian stock market
por: Gold, Nathan, et al.
Publicado: (2017)

Tsallis Entropy for Cross-Shareholding Network Configurations
por: Cerqueti, Roy, et al.
Publicado: (2020)

An Entropy Approach to Measure the Dynamic Stock Market Efficiency
por: Patra, Subhamitra, et al.
Publicado: (2022)

An Entropy-Based Approach to Measurement of Stock Market Depth
por: Olbryś, Joanna, et al.
Publicado: (2021)

Volatility spillovers from the Chinese stock market to the U.S. stock market: The role of the COVID-19 pandemic
por: Vuong, Giang Thi Huong, et al.
Publicado: (2022)

Investigating the Configurations in Cross-Shareholding: A Joint Copula-Entropy Approach
por: Cerqueti, Roy, et al.
Publicado: (2018)

Canadian stock market volatility under COVID-19
por: Xu, Dinghai
Publicado: (2022)

Stock market volatility and the COVID-19 reproductive number()
por: Díaz, Fernando, et al.
Publicado: (2022)

Economic Policy Uncertainty and Emerging Stock Market Volatility
por: Ghani, Maria, et al.
Publicado: (2023)

Testing volatility and relationship among BRICS stock market returns
por: Ganguly, Soumya, et al.
Publicado: (2022)

COVID-19 and stock market volatility: An industry level analysis
por: Baek, Seungho, et al.
Publicado: (2020)

Trust and stock market volatility during the COVID-19 crisis
por: Engelhardt, Nils, et al.
Publicado: (2021)

Market framing bias and cross-sectional stock returns
por: Xie, Jun, et al.
Publicado: (2023)

Stock Market Volatility and Return Analysis: A Systematic Literature Review
por: Bhowmik, Roni, et al.
Publicado: (2020)

Stock Net Entropy: Evidence from the Chinese Growth Enterprise Market
por: Lv, Qiuna, et al.
Publicado: (2018)

Uncertainty index and stock volatility prediction: evidence from international markets
por: Gong, Xue, et al.
Publicado: (2022)

Does oil price uncertainty matter in stock market volatility forecasting?
por: Qin, Peng, et al.
Publicado: (2022)

Volatile markets made easy: trading stocks and options for increased profits
por: Cohen, Guy
Publicado: (2009)

Political uncertainty, COVID-19 pandemic and stock market volatility transmission
por: Apostolakis, George N., et al.
Publicado: (2021)

The impact of pandemic on dynamic volatility spillover network of international stock markets
por: Lan, Tingting, et al.
Publicado: (2023)

“Investor attention fluctuation and stock market volatility: Evidence from China”
por: Yang, Taiji, et al.
Publicado: (2023)

A Computational Study on the Entropy of Interval-Valued Datasets from the Stock Market
por: Hu, Chenyi, et al.
Publicado: (2020)

COVID and World Stock Markets: A Comprehensive Discussion
por: Jabeen, Shaista, et al.
Publicado: (2022)

The predictive power of stock market’s expectations volatility: A financial synchronization phenomenon
por: Magner, Nicolás, et al.
Publicado: (2021)

Regularity in Stock Market Indices within Turbulence Periods: The Sample Entropy Approach
por: Olbryś, Joanna, et al.
Publicado: (2022)

Shannon Entropy and Herfindahl-Hirschman Index as Team’s Performance and Competitive Balance Indicators in Cyclist Multi-Stage Races
por: Ausloos, Marcel
Publicado: (2023)

The impact of COVID-19 pandemic on the volatility connectedness network of global stock market()
por: Cheng, Tingting, et al.
Publicado: (2022)

Volatility correlation structure, dynamic network and portfolio implications of Chinese stock market
por: He, Chengying, et al.
Publicado: (2022)

The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets
por: Lahmiri, Salim, et al.
Publicado: (2021)

Sign realized jump risk and the cross-section of stock returns: Evidence from China's stock market
por: Chao, Youcong, et al.
Publicado: (2017)

Response of stock market volatility to COVID-19 announcements and stringency measures: A comparison of developed and emerging markets
por: Bakry, Walid, et al.
Publicado: (2022)

Effects of investor sentiment on stock volatility: new evidences from multi-source data in China’s green stock markets
por: Gao, Yang, et al.
Publicado: (2022)

Impact of COVID-19 on the Saudi stock market: analysis of return, volatility and trading volume
por: Wasiuzzaman, Shaista
Publicado: (2022)

Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe
por: Zaremba, Adam, et al.
Publicado: (2020)

The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic
por: Li, Yan, et al.
Publicado: (2020)

Immunizing markets against the pandemic: COVID-19 vaccinations and stock volatility around the world
por: Rouatbi, Wael, et al.
Publicado: (2021)

Cannot write session to /tmp/vufind_sessions/sess_ai4k98sde8l7csg78f3ju1ethn