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

DOI10.1111/STAN.12166MaRDI QIDQ6147749zbMATH OpenOpenAlexWikidataFDO

Authors Wagner Barreto-Souza, Rodrigo B. Silva

Publication date 16 January 2024

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/stan.12166

zbMATH Keywords

infinite divisibilityLévy processmaximum likelihood estimationstochastic representationstock log-returns

Mathematics Subject Classification ID

Distribution theory (60Exx) Multivariate analysis (62Hxx) Mathematical economics (91Bxx)

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Cited in

(3)

• A new trivariate model for stochastic episodes
• A general stochastic model for bivariate episodes driven by a gamma sequence
• Stochastic episodes driven by truncated exponential observations

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