Statistical Approach to Implied Market Inefficiency Estimation
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Publisher
Springer Nature Switzerland
Link
https://link.springer.com/content/pdf/10.1007/978-3-031-64273-9_22
Reference13 articles.
1. Bianchi, S., Di Sciorio, F., Mattera, R.: Forecasting VIX with Hurst exponent. In: Corazza, M., Perna, C., Pizzi, C., Sibillo, M. (eds.) MAF 2022, pp. 90–95. Springer, Cham (2022). https://doi.org/10.1007/978-3-030-99638-3_15
2. Bianchi, S., Pantanella, A., Pianese, A.: Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity. Quantit. Financ. 13(8), 1317–1330 (2013)
3. Bianchi, S., Pianese, A.: Time-varying Hurst-Hoelder exponents and the dynamics of (in)efficiency in stock markets. Chaos Solitons Fractals 109(5), 64–75 (2018)
4. Couillard, M., Davison, M.: A comment on measuring the Hurst exponent of financial time series. Phys. A 348, 404–418 (2005)
5. Degiannakis, S.A.: Forecasting VIX. J. Money Invest. Bank. (4) (2008)
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