Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics-Reference-Cited by-同舟云学术

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

Published:2023-01 Issue: Volume:609 Page:128335
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Ammy-Driss Ayoub,Garcin Matthieu^ORCID

Publisher

Elsevier BV

Subject

Statistical and Nonlinear Physics,Statistics and Probability

Reference91 articles.

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4. B. Pavlyshenko, Regression approach for modeling COVID-19 spread and its impact on stock market, Working Paper, 2020.

5. Parameter stability in the market model: tests and time varying parameter estimation with UK data;Coutts;J. R. Stat. Soc. Ser. D Stat.,1997

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