An example on modelling conditional higher moments using maximum entropy density with high frequency data.
Since the introduction of the Autoregressive Conditional Heteroscedasticity (ARCH) model of Engle (1982), the literature of modelling the conditional second moment has become increasingly popular in the last two decades. This popularity is reflected by the numerous volatility models being proposed i...
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| Format: | Conference Paper |
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Modelling & Simulation Society of Australia & New Zealand Inc.
2007
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| Online Access: | http://www.mssanz.org.au/MODSIM07/papers/36_s4/AnExampleOn_s4_Chan_.pdf http://hdl.handle.net/20.500.11937/10010 |