A semi-Markovian approach to drawdown-based measures (Q6497556): Difference between revisions

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+A new look at the statistical model identification
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+Robustness and sensitivity analysis of risk measurement procedures
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+Copula based multivariate semi-Markov models with applications in high-frequency finance
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Nonparametric Estimation from Incomplete Observations
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+On Information and Sufficiency
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+MULTIFRACTALITY AND LONG-RANGE DEPENDENCE OF ASSET RETURNS: THE SCALING BEHAVIOR OF THE MARKOV-SWITCHING MULTIFRACTAL MODEL WITH LOGNORMAL VOLATILITY COMPONENTS
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
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+Estimating the dimension of a model
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+An application of three bivariate time-varying volatility models
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+Drawdowns and the speed of market crash
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