Considering that both the entropy-based market information and the Hurst...
We are interested in the nonparametric estimation of the probability den...
We determine the amount of information contained in a time series of pri...
A theoretical expression is derived for the mean squared error of a
nonp...
In this article we compare the performances of a logistic regression and...
This paper investigates the impact of COVID-19 on financial markets. It
...
The time-varying kernel density estimation relies on two free parameters...
The absolute-moment method is widespread for estimating the Hurst expone...