Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics (Q2111626)
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scientific article; zbMATH DE number 7642780
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| English | Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics |
scientific article; zbMATH DE number 7642780 |
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Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics (English)
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17 January 2023
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alpha-stable distribution
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dynamic estimation
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efficient market hypothesis
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financial crisis
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Hurst exponent
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0.84311235
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0.8330504
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0.83236206
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0.8298747
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0.82938147
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0.82865584
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