An example on modelling conditional higher moments using maximum entropy density with high frequency data.

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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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Bibliographic Details
Main Author:	Chan, Felix
Other Authors:	Les Oxley
Format:	Conference Paper
Published:	Modelling & Simulation Society of Australia & New Zealand Inc. 2007
Online Access:	http://www.mssanz.org.au/MODSIM07/papers/36_s4/AnExampleOn_s4_Chan_.pdf http://hdl.handle.net/20.500.11937/10010

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