Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
From MaRDI portal
Publication:2111626
DOI10.1016/J.PHYSA.2022.128335OpenAlexW3045393420MaRDI QIDQ2111626FDOQ2111626
Ayoub Ammy-Driss, Matthieu Garcin
Publication date: 17 January 2023
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2007.10727
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
Hurst exponentfinancial crisisefficient market hypothesisalpha-stable distributiondynamic estimation
Cites Work
- Title not available (Why is that?)
- Regression-Type Estimation of the Parameters of Stable Laws
- The estimation of the parameters of the stable laws
- Quantile Autoregression
- Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates
- Title not available (Why is that?)
- Fractional Brownian Motions, Fractional Noises and Applications
- SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
- Title not available (Why is that?)
- Title not available (Why is that?)
- Local Linear Quantile Regression
- Analysing Financial Returns by Using Regression Models Based on Non-Symmetric Stable Distributions
- Elliptic Gaussian random processes
- On the asymptotic normality of the maximum-likelihood estimate when sampling from a stable distribution
- Parameter Estimates for Symmetric Stable Distributions
- Dynamic quantile models
- Simple consistent estimators of stable distribution parameters
- Estimation in Univariate and Multivariate Stable Distributions
- Identifying the multifractional function of a Gaussian process
- The Long Memory of the Efficient Market
- An algorithm for evaluating stable densities in Zolotarev's \((M)\) parameterization
- Multifractional processes with random exponent
- Identification of multifractional Brownian motion
- Multi-scaling in finance
- An estimation of the stability and the localisability functions of multistable processes
- CAPM, RISK AND PORTFOLIO SELECTION IN "α-STABLE MARKETS"
- Estimating the index of a stable distribution
- Extrapolation of stable random fields
- Statistical Tools for Finance and Insurance
- Localizable Moving Average Symmetric Stable and Multistable Processes
- Modelling with mixture of symmetric stable distributions using Gibbs sampling
- Alternation of different fluctuation regimes in the stock market dynamics
- A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework
- PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE
- Wavelet shrinkage of a noisy dynamical system with non-linear noise impact
- Fast parallel \(\alpha \)-stable distribution function evaluation and parameter estimation using OpenCL in GPGPUs
- The long-range dependence of linear log-fractional stable motion
- HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS
- Probability density of the empirical wavelet coefficients of a noisy chaos
- Optimizing a basket against the efficient market hypothesis
Cited In (3)
Uses Software
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)
