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Fractal analysis of market (in)efficiency during the COVID-19
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*24,470 cited
  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation21,185 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,727 cited
  • 1999Continuous Martingales and Brownian Motion6,253 cited
  • 1963The Variation of Certain Speculative Prices4,890 cited
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1997
Quadratic variations and estimation of the local Hölder index of a Gaussian process
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