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With their article on Maximum Entropy (ME) densities for time-varying moments, Rockinger and Jondeau (2002) set a milestone for the application of information theoretic principles to the analysis of financial market data. In this note we briefly discuss the application of their approach to financial data, point out some shortcomings that it encounters and show how these can be overcome. Applying our model to different market indices, we find evidence for time-variability of skewness and kurtosis.

An Alternative Maximum Entropy Model for Time-Varying Moments with Application to Financial Returns