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Entropy: A new measure of stock market volatility?
6 references·2 citing·38 second hop
Entropy: A new measure of stock market volatility? (2012)Entropy: A new measure of stock market vo…Information and Entropy Econometrics—Editor's View (2002)Information and Entropy Econo…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Anomalous fluctuations in the dynamics of complex systems: from DNA and physiology to econophysics (1996)Anomalous fluctuations in the…Variance Bounds Tests and Stock Price Valuation Models (1986)Variance Bounds Tests and Sto…An Unbiased Reexamination of Stock Market Volatility (1985)An Unbiased Reexamination of …Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence (1983)Excess Volatility in the Fina…Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach (2021)Information-Theoretic Measure…Predicting Systemic Risk with Entropic Indicators (2016)Predicting Systemic Risk with…The Determinants of the Variability of Stock Market Prices (1980)The Present-Value Relation: Tests Based on Implied Variance Bounds (1981)Bubbles, Rational Expectations and Financial Markets (1982)Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation (1988)BUBBLES AND FADS IN ASSET PRICES (1989)Two Pillars of Asset Pricing (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Liquidity and interest rates (1990)Explaining the Variance of Price–Dividend Ratios (1992)ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK* (2008)On a Measure of the Information Provided by an Experiment (1956)Characterizations of joint distributions, copulas, information, dependence and decoupling, with applications to time series (2006)Long memory and volatility clustering: Is the empirical evidence consistent across stock markets? (2008)Theory-coherent forecasting (2014)Fractal Physiology (1994)Scaling behaviour in the dynamics of an economic index (1995)Econophysics: Can physicists contribute to the science of economics? (1999)Detrended fluctuation analysis of rainfall and streamflow time series (2000)Quantifying China’s regional economic complexity (2017)On Growth and Form, 1917 (2019)Approximate entropy as a measure of system complexity. (1991)A measure of risk and a decision-making model based on expected utility and entropy (2004)A theory of non-Gaussian option pricing (2007)A NOVEL R/S FRACTAL ANALYSIS AND WAVELET ENTROPY CHARACTERIZATION APPROACH FOR ROBUST FORECASTING BASED ON SELF-SIMILAR TIME SERIES MODELING (2020)Portfolio Selection: Efficient Diversification of Investments (1959)The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Random matrix approach to cross correlations in financial data (2002)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Stock Prices and Social Dynamics (1984)Comovements in Stock Prices and Comovements in Dividends (1989)A New Dividend Forecasting Procedure that Rejects Bubbles in Asset Prices: The Case of 1929’s Stock Crash (1996)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)
this work references cited by second hop

References

  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 1986Variance Bounds Tests and Stock Price Valuation Models484 cited
  • 1983Excess Volatility in the Financial Markets: A Reassessment of the Empirical Evidence293 cited
  • 1996Anomalous fluctuations in the dynamics of complex systems: from DNA and physiology to econophysics234 cited
  • 1985An Unbiased Reexamination of Stock Market Volatility210 cited
  • 2002Information and Entropy Econometrics—Editor's View125 cited

Cited by

  • 2016Predicting Systemic Risk with Entropic Indicators34 cited
  • 2021Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach28 cited

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