Drawdown risk measures for asset portfolios with high frequency data (Q6110761)
From MaRDI portal
scientific article; zbMATH DE number 7707844
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Drawdown risk measures for asset portfolios with high frequency data |
scientific article; zbMATH DE number 7707844 |
Statements
Drawdown risk measures for asset portfolios with high frequency data (English)
0 references
6 July 2023
0 references
drawdown risk measure
0 references
weighted-indexed semi-Markov models
0 references
asset portfolio
0 references
high-frequency data
0 references
right censoring
0 references
GARCH models
0 references
0 references
0 references
0 references
0 references
