Information Entropy and Measures of Market Risk
AbstractIn 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-at-Risk, using the entropy of the distribution of intraday returns as a predictor. View Full-Text
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Pele, D.T.; Lazar, E.; Dufour, A. Information Entropy and Measures of Market Risk. Entropy 2017, 19, 226.
Pele DT, Lazar E, Dufour A. Information Entropy and Measures of Market Risk. Entropy. 2017; 19(5):226.Chicago/Turabian Style
Pele, Daniel T.; Lazar, Emese; Dufour, Alfonso. 2017. "Information Entropy and Measures of Market Risk." Entropy 19, no. 5: 226.
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