Sébastien Fries

most citedUnderstanding the explosive trend in EU ETS prices -- fundamentals or speculation?

15 citations · 16 across the 3 of their papers we have counts for

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math.PR2018

Path prediction of aggregated $α$ -stable moving averages using semi-norm representations

Sébastien Fries

For $(X_{t})$ a two-sided $α$ -stable moving average, this paper studies the conditional distribution of future paths given a piece of observed trajectory when the process is far from…

math.PR2018★ 1 cited

Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds

Sebastien Fries

Noncausal, or anticipative, heavy-tailed processes generate trajectories featuring locally explosive episodes akin to speculative bubbles in financial time series data. For $(X_{t})$ …

Path prediction of aggregated α-stable moving averages using semi-norm representations

Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds

Path prediction of aggregated $α$ -stable moving averages using semi-norm representations