A semi-Markovian approach to drawdown-based measures (Q6497556)

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scientific article; zbMATH DE number 7843137
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English
A semi-Markovian approach to drawdown-based measures
scientific article; zbMATH DE number 7843137

    Statements

    title
    A semi-Markovian approach to drawdown-based measures (English)
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    author
    Guglielmo D'Amico
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    Bice Di Basilio
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    Filippo Petroni
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    publication date
    6 May 2024
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    zbMATH Keywords
    drawdown-based measures
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    high-frequency data
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    right censoring
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    maximum likelihood estimate
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    Identifiers

    Mathematics Subject Classification ID
    91-XX
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    60K15
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    62P05
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    zbMATH DE Number
    7843137
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