Copula based multivariate semi-Markov models with applications in high-frequency finance
type: Item
instance of: scholarly article
title: Copula based multivariate semi-Markov models with applications in high-frequency finance
zbMATH Open document ID: 1403.91385
author: Guglielmo D'Amico
author: Filippo Petroni
published in: European Journal of Operational Research
publication date: 2018-07-25T00:00:00Z
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 60K15
Mathematics Subject Classification ID: 62G05
Mathematics Subject Classification ID: 62H20
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6910045
zbMATH Keywords: finance
zbMATH Keywords: stochastic processes
zbMATH Keywords: applied probability
zbMATH Keywords: portfolio analysis
MaRDI profile type: Publication
full work available at URL: j.ejor.2017.12.016
OpenAlex ID: W2775503326
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DOI: 10.1016/J.EJOR.2017.12.016
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description: scientific article; zbMATH DE number 6910045