A Semi-Markov Approach to Financial Modelling During the COVID-19 Pandemic
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Publisher
Springer Nature Switzerland
Link
https://link.springer.com/content/pdf/10.1007/978-3-031-40209-8_4
Reference21 articles.
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4. D’Amico, G., Lika, A., Petroni, F.: Change point dynamics for financial data: an indexed Markov chain approach. Ann. Finance 15(2), 247–266 (2019). https://doi.org/10.1007/s10436-018-0337-0
5. D’Amico, G., Petroni, F.: A semi-Markov model with memory for price changes. J. Stat. Mech.: Theory Exp. 2011(12), P12009 (2011). https://doi.org/10.1088/1742-5468/2011/12/P12009
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