Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
From MaRDI portal
Publication:2111626
Recommendations
- Fractional virus epidemic model on financial networks
- Fractional stochastic differential equations. Applications to Covid-19 modeling
- Quantifying chaos in stock markets before and during COVID-19 pandemic from the phase space reconstruction
- Finite-time stabilizing a fractional-order chaotic financial system with market confidence
- Stochastic stability of fractional \((B,S)\)-securities markets
- Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets
- Self-similarity in financial markets: a fractionally integrated approach
Cites work
- scientific article; zbMATH DE number 4153678 (Why is no real title available?)
- scientific article; zbMATH DE number 3947305 (Why is no real title available?)
- scientific article; zbMATH DE number 1301883 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework
- Alternation of different fluctuation regimes in the stock market dynamics
- An algorithm for evaluating stable densities in Zolotarev's (M) parameterization
- An estimation of the stability and the localisability functions of multistable processes
- Analysing Financial Returns by Using Regression Models Based on Non-Symmetric Stable Distributions
- CAPM, RISK AND PORTFOLIO SELECTION IN "α-STABLE MARKETS"
- Dynamic quantile models
- Elliptic Gaussian random processes
- Estimating the index of a stable distribution
- Estimation in Univariate and Multivariate Stable Distributions
- Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates
- Extrapolation of stable random fields
- Fast parallel \(\alpha \)-stable distribution function evaluation and parameter estimation using OpenCL in GPGPUs
- Fractional Brownian Motions, Fractional Noises and Applications
- Hurst exponents and delampertized fractional Brownian motions
- Identification of multifractional Brownian motion
- Identifying the multifractional function of a Gaussian process
- Local Linear Quantile Regression
- Localizable moving average symmetric stable and multistable processes
- Modelling with mixture of symmetric stable distributions using Gibbs sampling
- Multi-scaling in finance
- Multifractional processes with random exponent
- On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
- Optimizing a basket against the efficient market hypothesis
- PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE
- Parameter Estimates for Symmetric Stable Distributions
- Probability density of the empirical wavelet coefficients of a noisy chaos
- Quantile Autoregression
- Regression-Type Estimation of the Parameters of Stable Laws
- SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
- Simple consistent estimators of stable distribution parameters
- Statistical Tools for Finance and Insurance
- The Long Memory of the Efficient Market
- The estimation of the parameters of the stable laws
- The long-range dependence of linear log-fractional stable motion
- Wavelet shrinkage of a noisy dynamical system with non-linear noise impact
Cited in
(3)
This page was built for publication: Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2111626)
