Drawdown risk measures for asset portfolios with high frequency data (Q6110761): Difference between revisions

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+Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo
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+Copula based multivariate semi-Markov models with applications in high-frequency finance
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Drawdown: from practice to theory and back again
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+Q4382161
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+On Information and Sufficiency
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+Q4263623
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+An introduction to copulas.
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
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+An application of three bivariate time-varying volatility models
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+Characterization of efficient frontier for mean-variance model with a drawdown constraint
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+Drawdowns and the speed of market crash
@@ Property / cites work: Drawdowns and the speed of market crash / rank @@
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+Publication:6110761