Interval Estimation for the Sortino Ratio and the Omega Ratio
DOI10.1080/03610918.2012.722808zbMATH Open1333.91061OpenAlexW2007164777MaRDI QIDQ5418878FDOQ5418878
Publication date: 30 May 2014
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10281/28388
GARCH modelcoverage probabilitystrong mixing conditionfinancial performance ratiodependent central limit theorem
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05)
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- 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
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Automatic Lag Selection in Covariance Matrix Estimation
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- MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
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