53 citations · 273 across the 11 of their papers we have counts for
3 papers · 1 filter
Weighted Kolmogorov-Smirnov test: Accounting for the tails
Rémy Chicheportiche, Jean-Philippe Bouchaud
Accurate goodness-of-fit tests for the extreme tails of empirical distributions is a very important issue, relevant in many contexts, including geophysics, insurance, and finance.…
The fine-structure of volatility feedback I: multi-scale self-reflexivity
Rémy Chicheportiche, Jean-Philippe Bouchaud
We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today's volatility can b…
Study of statistical correlations in intraday and daily financial return time series
Gayatri Tilak, Tamas Szell, Remy Chicheportiche +1
The aim of this article is to briefly review and make new studies of correlations and co-movements of stocks, so as to understand the "seasonalities" and market evolution. Using th…