An econometric analysis of drawdown based measures

DOI10.1007/978-3-031-17820-7_22OpenAlexW4318060136MaRDI QIDQ6153227

Fulvio Gismondi, Guglielmo D'Amico, Bice Di Basilio, Filippo Petroni

Publication date: 16 March 2024

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-031-17820-7_22

zbMATH Keywords

risk measureeconometric models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Cites Work

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• Robustness and sensitivity analysis of risk measurement procedures
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• A Semi-Markovian Modeling of Limit Order Markets

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