A semi-Markovian approach to drawdown-based measures

DOI10.1142/s0219525920500204MaRDI QIDQ6497556

Guglielmo D'Amico, Bice Di Basilio, Filippo Petroni

Publication date: 6 May 2024

Published in: Advances in Complex Systems (Search for Journal in Brave)

zbMATH Keywords

right censoringhigh-frequency datamaximum likelihood estimatedrawdown-based measures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov renewal processes, semi-Markov processes (60K15) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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