Figure 7.
The panels are labelled A, B, C and D. Panel A is titled Entropy: one-quarter-ahead. The vertical axis is Relative Entropy. Two lines are labelled Downside and Upside. Values range from 0.0 to about 1.7. Panel B is titled Entropy: one-year-ahead. The vertical axis is Relative Entropy. Two lines are labelled Downside and Upside. Values range from 0.0 to about 1.0. Panel C is titled Shortfall and longrise: one-quarter-ahead. Two lines are labelled Shortfall and Longrise. Values range from 0 to above 20. Panel D is titled Shortfall and longrise: one-year-ahead. Two lines are labelled Shortfall and Longrise. Values range from 0 to above 8. Legends identifying the lines appear within each panel.Growth entropy and expected shortfall
Note(s): This figure shows the time series evolution of relative downside and upside entropy and the 5% expected shortfall and longrise