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

DOI10.1007/S10260-012-0198-ZMaRDI QIDQ257461zbMATH OpenOpenAlexFDO

Authors L. De Capitani

Publication date 17 March 2016

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-012-0198-z

zbMATH Keywords

central limit theorem for dependent datafinancial performance measuresNewey-West estimatorstationary and ergodic process

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05)

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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• Automatic Lag Selection in Covariance Matrix Estimation
• Generalized autoregressive conditional heteroscedasticity
• Large Sample Properties of Generalized Method of Moments Estimators
• Some Limit Theorems for Stationary Processes

Cited in

(6)

• Direct local linear estimation for Sharpe ratio function
• Inference for performance measures for financial assets
• Inference for the Sharpe ratio using a likelihood-based approach
• Change Point Detection in The Skew-Normal Model Parameters
• Interval estimation for the Sortino ratio and the Omega ratio
• A Re‐Examination of Sharpe's Ratio for Log‐Normal Prices

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