Research output per year
Research output per year
Personal profile
Personal profile
He is an Associate Professor in Quantitative Finance at ESILV.
Research interests
His research focuses on developing novel statistical methods for financial markets, fractals, statistics, quantitative finance, statistical finance and volatility modeling.
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Dive into the research topics where Matthieu Garcin is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
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Collaborations and top research areas from the last five years
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Credit scoring using neural networks and SURE posterior probability calibration
Garcin, M. & Stéphan, S., 1 Jan 2026, In: International Journal of Applied Decision Sciences. 19, 2, p. 155-179 25 p.Research output: Contribution to journal › Article › peer-review
Open Access -
Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis
Garcin, M., 4 Nov 2024, Select Topics of Econophysics. De Gruyter, p. 393-410 18 p.Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review
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Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets
Garcin, M., Klein, J. & Laaribi, S., 1 Jan 2024, In: Journal of Applied Statistics. 51, 11, p. 2157-2177 21 p.Research output: Contribution to journal › Article › peer-review
Open Access4 Citations (Scopus) -
Fractal properties, information theory, and market efficiency
Brouty, X. & Garcin, M., 1 Mar 2024, In: Chaos, Solitons and Fractals. 180, 114543.Research output: Contribution to journal › Article › peer-review
31 Citations (Scopus) -
Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
Garcin, M. & Nicolas, M. L. D., 1 Oct 2024, In: Statistical Papers. 65, 8, p. 4875-4913 39 p.Research output: Contribution to journal › Article › peer-review
Open Access1 Citation (Scopus) -
A Multivariate Quantile Based on Kendall Ordering
Garcin, M., Guégan, D. & Hassani, B., 1 Jan 2023, In: REVSTAT-Statistical Journal. 21, 1, p. 77-96 20 p.Research output: Contribution to journal › Article › peer-review
1 Citation (Scopus) -
A statistical test of market efficiency based on information theory
Brouty, X. & Garcin, M., 1 Jan 2023, In: Quantitative Finance. 23, 6, p. 1003-1018 16 p.Research output: Contribution to journal › Article › peer-review
Open Access20 Citations (Scopus) -
Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics
Ammy-Driss, A. & Garcin, M., 1 Jan 2023, In: Physica A: Statistical Mechanics and its Applications. 609, 128335.Research output: Contribution to journal › Article › peer-review
33 Citations (Scopus) -
Interest Rates Term Structure Models Driven by Hawkes Processes
Bernis, G., Garcin, M., Scotti, S. & Sgarra, C., 1 Dec 2023, In: SIAM Journal on Financial Mathematics. 14, 4, p. 1062-1079 18 p.Research output: Contribution to journal › Article › peer-review
Open Access3 Citations (Scopus) -
A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework
Garcin, M., 1 Nov 2022, In: Communications in Nonlinear Science and Numerical Simulation. 114, 106610.Research output: Contribution to journal › Article › peer-review
Open Access6 Citations (Scopus)