Use Renyi’s entropy for estimating tail index in financial time series
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heavy-tailed distribution, Pareto distribution, Renyi entropy, Kernel estimation
Abstract
Empirical analysis of financial time series indicates that there is a great demand for qualitative new models. Paper presents preliminary results for estimating tail index applying Renyi entropy. Empirical results show that exchange rate of WIG’s time series are generated from distribution with significantly fatter tails than DJ’s time series
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How to Cite
Brzozowska-Rup, K., & Dziubdziela, W. (2006). Use Renyi’s entropy for estimating tail index in financial time series. Zeszyty Naukowe SGGW - Ekonomika I Organizacja Gospodarki Żywnościowej, (60), 69–79. https://doi.org/10.22630/EIOGZ.2006.60.28
References
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Weron A.,Weron R. (1999). "Inżynieria finansowa",WNT, Warszawa.
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