/GMMlogreturn

R code accompayning the paper "Entropy-based volatility analysis of financial log-returns using Gaussian mixture models"

Primary LanguageR

Entropy-based volatility analysis of financial log-returns using Gaussian mixture models

  • This repository contains the R code to reproduce the analyses in the paper:

    Scrucca L. (2024) Entropy-based volatility analysis of financial log-returns using Gaussian mixture models. Entropy, 26(11), 907. https://doi.org/10.3390/e26110907

  • Instructions: open and execute the R code contained in the following files:

    • gold.R
    • S&P500.R
    • FTSE.R
    • MIB.R