An entropy-based approach to stock market volatility: evidence from the G7’s market indices
This paper examines the adequacy of entropy in assessing stock market volatility. To this end, we compare the traditional approach based on the standard deviation with the entropy method. In view of the fact that the Shannon entropy is only suitable for describing equilibrium systems we consider Ren...
| Main Author: | |
|---|---|
| Format: | article |
| Language: | eng |
| Published: |
2017
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10071/12932 |
| Country: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/12932 |