Copula based multivariate semi-Markov models with applications in high-frequency finance
Guglielmo D’Amico, Filippo Petroni
| Year of publication: |
1 June 2018
|
|---|---|
| Authors: | D'Amico, Guglielmo ; Petroni, Filippo |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 267.2018, 2 (1.6.), p. 765-777
|
| Subject: | Finance | Stochastic processes | Applied probability | Portfolio analysis | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Stochastischer Prozess | Stochastic process | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.12.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011812746