Matthieu Garcin

Available identifiers

Publication	Date of Publication	Type
Nonparametric estimator of the tail dependence coefficient: balancing bias and variance	2024-11-18	Paper
Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets	2024-09-12	Paper
https://portal.mardi4nfdi.de/entity/Q6141218	2024-01-22	Paper
Interest Rates Term Structure Models Driven by Hawkes Processes	2023-11-23	Paper
A statistical test of market efficiency based on information theory	2023-08-02	Paper
Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics	2023-01-17	Paper
A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework	2022-08-03	Paper
Forecasting with fractional Brownian motion: a financial perspective	2022-07-22	Paper
Non-parametric news impact curve: a variational approach	2022-07-18	Paper
Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates	2022-06-20	Paper
Long versus short time scales: the rough dilemma and beyond	2022-06-17	Paper
HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS	2019-09-09	Paper
Wavelet shrinkage of a noisy dynamical system with non-linear noise impact	2017-06-14	Paper
Probability density of the empirical wavelet coefficients of a noisy chaos	2016-07-28	Paper

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