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VOLATILITY MEASUREMENT OF THE WORLD INDICES USING DIFFERENT ENTROPY METHODS

ABSTRACT
In this paper, we show that the application of different entropy methods for world indices. To do this, we use the world indices such as Istanbul Stock Indices (BIST 30), Brazil Index (Bovespa), Germany Index (DAX), Britain Index (FTSE100), South Korea (KOSPİ) , Japan Index (Nıkkei 225) , United States Index (SP 500) and China Index (SHANGAI) that have been investigated over all of 8 years (2010-2018). We obtain Shannon, Tsallis, Rényi and at last the approximate entropy. Consequently, we provide computational results for these entropies for weekly and monthly data.
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PAPER SUBMITTED: 2019-01-30
PAPER REVISED: 2019-06-25
PAPER ACCEPTED: 2019-07-27
PUBLISHED ONLINE: 2019-09-15
DOI REFERENCE: https://doi.org/10.2298/TSCI190130345M
CITATION EXPORT: view in browser or download as text file
THERMAL SCIENCE YEAR 2019, VOLUME 23, ISSUE Supplement 6, PAGES [S1849 - S1861]
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