9 citations · 20 across the 4 of their papers we have counts for
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q-fin.ST2023★ 1 cited
Portfolio Volatility Estimation Relative to Stock Market Cross-Sectional Intrinsic Entropy
Claudiu Vinte, Marcel Ausloos
Selecting stock portfolios and assessing their relative volatility risk compared to the market as a whole, market indices, or other portfolios is of great importance to professiona…
q-fin.ST2022★ 4 cited
The Cross-Sectional Intrinsic Entropy. A Comprehensive Stock Market Volatility Estimator
Claudiu Vinte, Marcel Ausloos
To take into account the temporal dimension of uncertainty in stock markets, this paper introduces a cross-sectional estimation of stock market volatility based on the intrinsic en…