Drawdown measures and return moments
DOI10.1142/S0219024918500425zbMATH Open1417.91471OpenAlexW2891933161WikidataQ129329321 ScholiaQ129329321MaRDI QIDQ4555853FDOQ4555853
Publication date: 23 November 2018
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024918500425
Recommendations
momentsautocorrelationrisk measuresregretdrawdownnormal inverse Gaussian processexponential Lévy process
Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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Cited In (2)
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