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

DOI10.1111/stan.12166OpenAlexW2900351926WikidataQ128997547 ScholiaQ128997547MaRDI QIDQ6147749

Rodrigo B. Silva, Wagner Barreto-Souza

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

maximum likelihood estimationLévy processstochastic representationinfinite divisibilitystock log-returns

Mathematics Subject Classification ID

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

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