Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling

Sheraz, Muhammad; Preda, Vasile; Dedu, Silvia

doi:10.3934/math.2020020

Cited by 2 publications

(2 citation statements)

References 13 publications

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“…Lahmiri and Bekiros (2020a) applied informational entropy methods to evaluate the impact of the COVID-19 pandemic on randomness in the volatility of the major world stock markets. Many different entropic methods have been proposed to study the financial markets, for example, Gulko (1999); Gradojevic (2008, 2010); Zhou et al (2013); Preda et al (2014); Toma (2014); Preda and Sheraz (2015) and Sheraz et al (2019).…”

Section: Introductionmentioning

confidence: 99%

Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach

Sheraz

Imran

2021

Risks

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The volatility analysis of stock returns data is paramount in financial studies. We investigate the dynamics of volatility and randomness of the Pakistan Stock Exchange (PSX-100) and obtain insights into the behavior of investors during and before the coronavirus disease (COVID-19 pandemic). The paper aims to present the volatility estimations and quantification of the randomness of PSX-100. The methodology includes two approaches: (i) the implementation of EGARCH, GJR-GARCH, and TGARCH models to estimate the volatilities; and (ii) analysis of randomness in volatilities series, return series, and PSX-100 closing prices for pre-pandemic and pandemic period by using Shannon’s, Tsallis, approximate and sample entropies. Volatility modeling suggests the existence of the leverage effect in both the underlying periods of study. The results obtained using GARCH modeling reveal that the stock market volatility has increased during the pandemic period. However, information-theoretic results based on Shannon and Tsallis entropies do not suggest notable variation in the estimated volatilities series and closing prices. We have examined regularity and randomness based on the approximate entropy and sample entropy. We have noticed both entropies are extremely sensitive to choices of the parameters.

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Section: Introductionmentioning

confidence: 99%

Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach

Sheraz

Imran

2021

Risks

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“…Filipović and Willems [3] identified the density function through the entropy method and priced the options of dividend stocks and the interest rate-dividend hybrid derivatives, which contributed to the analysis of yield with uncertain distribution. Sheraz et al [4] believed that in many cases, no arbitrage risk measurement was difficult to be realized through using numerical method, and the minimum entropy method provided a new idea for the determination of risk neutral measurement. Based on HJ pricing kernel, Rojo-Suárez and Alonso Conde [5] divided the core of asset pricing into two parts, the relative entropy of the pricing kernel and the relative entropy related to asset pricing.…”

Section: Introductionmentioning

confidence: 99%

Sustainable Construction and Financing—Asset-Backed Securitization of Expressway’s Usufruct with Redeemable Rights

Zhang

Tjia²,

Wang

et al. 2021

Sustainability

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Asset-backed securitization will greatly promote the sustainability of infrastructure construction and financing. However, there are quite limited researches conducted in this field. Given the project characteristics of infrastructure project securities, this paper proposes the issuance steps of redeemable asset-backed notes (ABN) based on the infrastructure project’s usufruct as the basic asset. Taking the expressway franchise as an example, the issuing scale and coupon rate of the redeemable ABN are determined by the expected cash flow of the expressway, the term structure of random interest rates, and the option-adjusted spread (OAS). In addition, this research analyzes the duration, convexity, and OAS.

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Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling

Cited by 2 publications

References 13 publications

Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach

Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach

Sustainable Construction and Financing—Asset-Backed Securitization of Expressway’s Usufruct with Redeemable Rights

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