scientific article; zbMATH DE number 6193736

zbMath1268.60047arXivmath/0702812MaRDI QIDQ5326966

Hwai-Chung Ho

Publication date: 1 August 2013

Full work available at URL: https://arxiv.org/abs/math/0702812

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stochastic volatilitylong memorySharpe ratio

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Economic time series analysis (91B84)

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