Matthieu Garcin

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis	2025-05-21	Paper
Nonparametric estimator of the tail dependence coefficient: balancing bias and variance Statistical Papers	2024-11-18	Paper
Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets Journal of Applied Statistics	2024-09-12	Paper
A multivariate quantile based on Kendall ordering	2024-01-22	Paper
Interest Rates Term Structure Models Driven by Hawkes Processes SIAM Journal on Financial Mathematics	2023-11-23	Paper
A statistical test of market efficiency based on information theory Quantitative Finance	2023-08-02	Paper
Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics Physica A	2023-01-17	Paper
A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework Communications in Nonlinear Science and Numerical Simulation	2022-08-03	Paper
Forecasting with fractional Brownian motion: a financial perspective Quantitative Finance	2022-07-22	Paper
Non-parametric news impact curve: a variational approach Soft Computing	2022-07-18	Paper
Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates Physica A	2022-06-20	Paper
Long versus short time scales: the rough dilemma and beyond Decisions in Economics and Finance	2022-06-17	Paper
Hurst exponents and delampertized fractional Brownian motions International Journal of Theoretical and Applied Finance	2019-09-09	Paper
Wavelet shrinkage of a noisy dynamical system with non-linear noise impact Physica D	2017-06-14	Paper
Probability density of the empirical wavelet coefficients of a noisy chaos Physica D: Nonlinear Phenomena	2016-07-28	Paper

Research outcomes over time

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