Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
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Publication:2111626
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
dynamic estimationHurst exponentefficient market hypothesisfinancial crisisalpha-stable distribution
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Cites Work
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