Interval estimation for the Sharpe ratio when returns are not i.i.d. with special emphasis on the GARCH(1,1) process with symmetric innovations

DOI10.1007/s10260-012-0198-zzbMath1332.62304OpenAlexW2140272044MaRDI QIDQ257461

Lucio De Capitani

Publication date: 17 March 2016

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-012-0198-z

zbMATH Keywords

central limit theorem for dependent datafinancial performance measuresNewey-West estimatorstationary and ergodic process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Nonparametric tolerance and confidence regions (62G15)

Related Items (3)

Interval Estimation for the Sortino Ratio and the Omega Ratio ⋮ Change Point Detection in The Skew-Normal Model Parameters ⋮ Inference for performance measures for financial assets

Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• Generalized autoregressive conditional heteroscedasticity
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Lag Selection in Covariance Matrix Estimation
• Some Limit Theorems for Stationary Processes

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