Inference for performance measures for financial assets

DOI10.1007/s40300-014-0055-yzbMath1325.91062OpenAlexW1996834009MaRDI QIDQ2515379

Lucio De Capitani, Leo Pasquazzi

Publication date: 5 August 2015

Published in: Metron (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40300-014-0055-y

zbMATH Keywords

mixing conditioncoverage accuracycentral limit theorem for dependent datafinancial performance ratio

Mathematics Subject Classification ID

Related Items (1)

Some measures of kurtosis and their inference on large datasets

Uses Software

• R

Cites Work

• Unnamed Item
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• 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
• The Bahadur representation of sample quantiles for sequences of strongly mixing random variables
• Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
• On U-statistics and v. mise? statistics for weakly dependent processes
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Weighted Empirical Adaptive Variance Estimators for Correlated Data Regression
• Automatic Lag Selection in Covariance Matrix Estimation
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Interval Estimation for the Sortino Ratio and the Omega Ratio

This page was built for publication: Inference for performance measures for financial assets