Drawdown risk measures for asset portfolios with high frequency data

DOI10.1007/s10436-022-00421-yzbMath1520.91374MaRDI QIDQ6110761

Giovanni Masala, Filippo Petroni

Publication date: 6 July 2023

Published in: Annals of Finance (Search for Journal in Brave)

zbMATH Keywords

right censoringhigh-frequency dataGARCH modelsasset portfoliodrawdown risk measureweighted-indexed semi-Markov models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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