Beyond Volatility: Using Differential Entropy to Detect Financial Market Regimes

This repository contains R code implementing differential entropy estimation with heavy-tailed kernel functions to identify financial market regimes beyond traditional variance-based risk measures. We demonstrate how entropy-based methods effectively detect structural breaks and shifts in tail behavior by analyzing log-returns of the Ibovespa, S&P 500, Nikkei, and SSE indices from 1998 to 2025.