Copula based multivariate semi-Markov models with applications in high-frequency finance

DOI10.1016/J.EJOR.2017.12.016zbMath1403.91385OpenAlexW2775503326MaRDI QIDQ723963

Filippo Petroni, Guglielmo D'Amico

Publication date: 25 July 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.12.016

zbMATH Keywords

stochastic processesfinanceapplied probabilityportfolio analysis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Measures of association (correlation, canonical correlation, etc.) (62H20) Markov renewal processes, semi-Markov processes (60K15) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (6)

Drawdown risk measures for asset portfolios with high frequency data ⋮ An econometric analysis of drawdown based measures ⋮ Modelling of limit order books by general compound Hawkes processes with implementations ⋮ Change point dynamics for financial data: an indexed Markov chain approach ⋮ A Copula-based Markov Reward Approach to the Credit Spread in the European Union ⋮ ROCOF of higher order for semi-Markov processes

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