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Publication:2940155

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zbMath1311.60102arXiv1305.0436MaRDI QIDQ2940155

Filippo Petroni, Guglielmo D'Amico

Publication date: 26 January 2015

Full work available at URL: https://arxiv.org/abs/1305.0436

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Monte Carlo simulations semi-Markov processes bivariate processes multivariate high-frequency financial data

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Markov renewal processes, semi-Markov processes (60K15) Financial applications of other theories (91G80) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Related Items (3)

An econometric analysis of drawdown based measures ⋮ Change point dynamics for financial data: an indexed Markov chain approach ⋮ Copula based multivariate semi-Markov models with applications in high-frequency finance

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