A bivariate infinitely divisible law for modeling the magnitude and duration of monotone periods of log‐returns (Q6147749)

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scientific article; zbMATH DE number 7788775
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English
A bivariate infinitely divisible law for modeling the magnitude and duration of monotone periods of log‐returns
scientific article; zbMATH DE number 7788775

    Statements

    A bivariate infinitely divisible law for modeling the magnitude and duration of monotone periods of log‐returns (English)
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    16 January 2024
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    infinite divisibility
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    Lévy process
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    maximum likelihood estimation
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    stochastic representation
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    stock log-returns
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