Exportar Publicação

A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Bentes, S. R. (2016). An entropy-based approach to stock market volatility: evidence from the G7’s market indices. International Journal of Industrial and Systems Engineering. 24 (2), 158-177
Exportar Referência (IEEE) 
S. M. Bentes,  "An entropy-based approach to stock market volatility: evidence from the G7’s market indices", in Int. Journal of Industrial and Systems Engineering, vol. 24, no. 2, pp. 158-177, 2016
Exportar BibTeX 
@article{bentes2016_1714959656025,
	author = "Bentes, S. R.",
	title = "An entropy-based approach to stock market volatility: evidence from the G7’s market indices",
	journal = "International Journal of Industrial and Systems Engineering",
	year = "2016",
	volume = "24",
	number = "2",
	doi = "10.1504/IJISE.2016.078897",
	pages = "158-177",
	url = "http://www.inderscienceonline.com/doi/abs/10.1504/IJISE.2016.078897"
}
Exportar RIS 
TY  - JOUR
TI  - An entropy-based approach to stock market volatility: evidence from the G7’s market indices
T2  - International Journal of Industrial and Systems Engineering
VL  - 24
IS  - 2
AU  - Bentes, S. R.
PY  - 2016
SP  - 158-177
SN  - 1748-5037
DO  - 10.1504/IJISE.2016.078897
UR  - http://www.inderscienceonline.com/doi/abs/10.1504/IJISE.2016.078897
AB  - 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 Renyi and Tsallis entropies, which are more appropriate to explain anomalous phenomena. We used a sample based on the daily returns of the G7's major stock market indices. The results show the limitations of the standard deviation-based approach in fully characterising volatility and highlight the potentialities of entropy as a measure of uncertainty.
ER  -