An econometric analysis of drawdown based measures

DOI10.1007/978-3-031-17820-7_22MaRDI QIDQ6153227zbMATH OpenOpenAlexFDO

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

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

econometric modelsrisk measure

Mathematics Subject Classification ID

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

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Cites work

• A Pricing Process with Stochastic Volatility Controlled by a Semi-Markov Process
• A semi-Markovian modeling of limit order markets
• Analysis of financial time series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Copula based multivariate semi-Markov models with applications in high-frequency finance
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• Drawdowns and the speed of market crash
• Elements of financial risk management.
• Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 6390866 (Why is no real title available?)
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• scientific article; zbMATH DE number 3031372 (Why is no real title available?)
• Robustness and sensitivity analysis of risk measurement procedures

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