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 (<i>CSIE</i>) is defined and computed as a daily...

Full description

Bibliographic Details
Published in:Entropy
Main Authors: Claudiu Vințe, Marcel Ausloos
Format: Article
Language:English
Published: MDPI AG 2022-04-01
Subjects:
intrinsic entropy
cross-sectional study
stock market
volatility estimator
Online Access:https://www.mdpi.com/1099-4300/24/5/623

Internet

https://www.mdpi.com/1099-4300/24/5/623

Similar Items