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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