Sébastien Fries
Biographic Data
| ID | 8921410 |
|---|---|
| NAME | Sébastien Fries |
| GIVEN NAMES | Sébastien |
| FAMILY NAME | Fries |
| SIGNATURE | FRIES S |
| AFFILIATIONS | Vrije Universiteit Amsterdam |
| ORCID | 0000-0003-1204-5532 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2022 |
| LATEST PUBLICATION YEAR | 2022 |
| H-INDEX | 0 |
Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds
Noncausal, or anticipative, heavy-tailed processes generate trajectories featuring locally explosive episodes akin to speculative bubbles in financial time series data. For (Xt) a two-sided infinite α-stable moving average (MA), conditional moments up to integer order four are shown to exist provided (Xt) is anticipative enough, despite the process featuring infinite marginal variance. Formulas of these moments at any forecast horizon under any a…
No prominent works on this page.
Conditional Moments of Noncausal Alpha-Stable Processes and the Prediction of Bubble Crash Odds
Noncausal, or anticipative, heavy-tailed processes generate trajectories featuring locally explosive episodes akin to speculative bubbles in financial time series data. For (Xt) a two-sided infinite α-stable moving average (MA), conditional moments up to integer order four are shown to exist provided (Xt) is anticipative enough, despite the process featuring infinite marginal variance. Formulas of these moments at any forecast horizon under any a…
Applied Mathematics (1 work) · Bubble (1 work) · Complex Systems and Time Series Analysis (1 work) · Conditional probability distribution (1 work) · Economics (1 work) · Explosive material (1 work) · Exponent (1 work) · Finance (1 work) · Financial Risk and Volatility Modeling (1 work) · Market Dynamics and Volatility (1 work)