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 (Q257461)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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 |
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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 (English)
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17 March 2016
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financial performance measures
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stationary and ergodic process
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central limit theorem for dependent data
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Newey-West estimator
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