Information Entropy and Measures of Market Risk
نویسندگان
چکیده
In this paper we investigate the relationship between the information entropy of the distribution of intraday returns and intraday and daily measures of market risk. Using data on the EUR/JPY exchange rate, we find a negative relationship between entropy and intraday Value-at-Risk, and also between entropy and intraday Expected Shortfall. This relationship is then used to forecast daily Value-at-Risk, using the entropy of the distribution of intraday returns as a predictor.
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عنوان ژورنال:
- Entropy
دوره 19 شماره
صفحات -
تاریخ انتشار 2017