Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis.

The entropy principle yields, for a given set moments, a density that involves the smallest amount of prior information. We first show how entropy densities may be constructed in a numerically efficient way as the minimization of a potential. Next, for the case where the first four moments are given, we characterize the skewness-Kurtosis domain for which densities are defined.

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Year of publication:	2001
Authors:	Rockinger, M. ; Jondeau, E.
Institutions:	Banque de France
Subject:	Semi-nonparametric estimation \| Time-varying skewness and kurtosis \| GARCH

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Extent:	application/pdf
Series:	Working papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	27 pages
Classification:	C40 - Econometric and Statistical Methods: Special Topics. General ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005034723