Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics

DOI10.1016/j.physa.2022.128335OpenAlexW3045393420MaRDI QIDQ2111626

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

zbMATH Keywords

dynamic estimationHurst exponentefficient market hypothesisfinancial crisisalpha-stable distribution

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items

A statistical test of market efficiency based on information theory, Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity

Uses Software

• CAViaR
• LMOMENTS
• LSD

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