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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scientific article; zbMATH DE number 6557209
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| 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 |
scientific article; zbMATH DE number 6557209 |
Statements
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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0.8102835416793823
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0.7682750821113586
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0.7563608884811401
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0.7429691553115845
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0.7359415888786316
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