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06/23/2023
Fractal properties, information theory, and market efficiency
Considering that both the entropy-based market information and the Hurst...
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05/22/2023
Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis
We are interested in the nonparametric estimation of the probability den...
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08/25/2022
A statistical test of market efficiency based on information theory
We determine the amount of information contained in a time series of pri...
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11/22/2021
Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
A theoretical expression is derived for the mean squared error of a nonp...
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07/15/2021
Credit scoring using neural networks and SURE posterior probability calibration
In this article we compare the performances of a logistic regression and...
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07/21/2020
Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
This paper investigates the impact of COVID-19 on financial markets. It ...
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07/17/2020
Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets
The time-varying kernel density estimation relies on two free parameters...
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03/05/2020
