Statistical approach to implied market inefficiency estimation

DOI10.1007/978-3-031-64273-9_22MaRDI QIDQ7032299zbMATH OpenFDO

Authors Fabrizio Di Sciorio, Laura Molero González, Juan Evangelista Trinidad Segovia

Publication date 5 February 2025

Full work available at URL https://doi.org/10.1007/978-3-031-64273-9_22

zbMATH Keywords

ensemble stackingHurst exponentinefficient marketregressionVIX

Mathematics Subject Classification ID

Financial markets (91G15)

Cites work

• Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates
• Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
• Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets

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