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-ZzbMATH Open1332.62304OpenAlexW2140272044MaRDI QIDQ257461FDOQ257461
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
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central limit theorem for dependent datafinancial performance measuresNewey-West estimatorstationary and ergodic process
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)
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Generalized autoregressive conditional heteroscedasticity
- Some Limit Theorems for Stationary Processes
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- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Automatic Lag Selection in Covariance Matrix Estimation
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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