RPEIF (Q79051)
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Computation and Plots of Influence Functions for Risk and Performance Measures
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | RPEIF |
Computation and Plots of Influence Functions for Risk and Performance Measures |
Statements
expanded from: GPL (≥ 2) (English)
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17 December 2025
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Computes the influence functions time series of the returns for the risk and performance measures as mentioned in Chen and Martin (2018) <https://www.ssrn.com/abstract=3085672>, as well as in Zhang et al. (2019) <https://www.ssrn.com/abstract=3415903>. Also evaluates estimators influence functions at a set of parameter values and plots them to display the shapes of the influence functions.
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Shengyu Zhang
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Douglas Martin
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