4 citations · 11 across the 15 of their papers we have counts for
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Long vs Short Time Scales: the Rough Dilemma and Beyond
Matthieu Garcin, Martino Grasselli
Using a large dataset on major FX rates, we test the robustness of the rough fractional volatility model over different time scales, by including smoothing and measurement errors i…
Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
Ayoub Ammy-Driss, Matthieu Garcin
This paper investigates the impact of COVID-19 on financial markets. It focuses on the evolution of the market efficiency, using two efficiency indicators: the Hurst exponent and t…
Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets
Matthieu Garcin, Jules Klein, Sana Laaribi
The time-varying kernel density estimation relies on two free parameters: the bandwidth and the discount factor. We propose to select these parameters so as to minimize a criterion…
A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework
Matthieu Garcin
The absolute-moment method is widespread for estimating the Hurst exponent of a fractional Brownian motion . But this method is biased when applied to a stationary version of $X…