Information Entropy and Measures of Market Risk
نویسندگان
چکیده
منابع مشابه
Information Entropy and Measures of Market Risk
In this paper we investigate the relationship between the information entropy of the distribution of intraday returns and intraday and daily measures of market risk. Using data on the EUR/JPY exchange rate, we find a negative relationship between entropy and intraday Value-at-Risk, and also between entropy and intraday Expected Shortfall. This relationship is then used to forecast daily Value-a...
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ژورنال
عنوان ژورنال: Entropy
سال: 2017
ISSN: 1099-4300
DOI: 10.3390/e19050226